Modeling and A Posteriori Ratemaking for Multiple Perils with the Wishart-Gamma Random Effects Model
Abstract
The Wishart-gamma random effects model, introduced by Denuit and Lu (2021), is both flexible and tractable for a variety of insurance applications such as multi-peril ratemaking, frequency-severity ratemaking, and micro-reserving. However, so far, this model has yet to be applied in either the statistical or the actuarial literature, and one important challenge is that its pricing and likelihood
Fields of Study & Subjects
Statistical Methods and Inference
Publication details
- Journal / source
- North American Actuarial Journal
- Publisher
- Informa UK Limited
- Pages
- 1–21
- Publication date
- 11 May 2026
- Language
- EN