Project With Himchan Jeong

Tweedie multivariate credibility premium with semi-parametric random effects

There has been no effective approach that can consider credibility premium for multiple coverages for a compound risk model, with a simplified form that reduces to the well-known results of univariate credibility premiums.

Therefore, we will (1) develop a theoretical framework to compute Tweedie multivariate credibility premium with semi-parametric random effects, and (2) conduct numerical studies to validate the applicability and use of the proposed method. The student will be mainly responsible for the second part with the following objectives:

1. Familiarizing themselves with the current literature on compound risk models with random effects for posterior ratemaking.
2. Writing code to implement the simulation and empirical analysis with a real dataset.
3. Documenting all work.