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The aim of this paper is to propose a multivariate INAR(1) model for addressing all the challenges in high-dimensional non-life claim count data sets that exhibit time and cross dependence and a zero-inflation attribute. In particular, the innovation terms are modelled using a multivariate...
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This article proposes a framework for determining credibility premiums for multiple coverages in a compound risk model … with Tweedie distribution. The framework builds upon previous results on credibility premium and provides an explicit … multivariate credibility premium formula that is applicable to the Tweedie family. The practical applicability of the proposed …
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appropriate quantification of household inflation expectations in the Swiss Consumer Survey, where answers are qualitative in … expectations since the mid-1990s. Furthermore, we discuss some of the key features of Swiss household inflation expectations, i …
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