A generalized crossed classification credibility model

DOI10.1016/S0167-6687(00)00075-5MaRDI QIDQ5938018zbMATH OpenFDO

Authors Vincent Goulet

Publication date 10 August 2003

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-6687(00)00075-5

zbMATH Keywords

credibility theorycrossed classificationHilbert spacevariance components

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

In the crossed classification credibility (CCC) model of \textit{D. Dannenburg} [Crossed classification credibility models. Transact. 25 th Int. Congr. Actuaries 4, 1-35 (1995)], every contract in an insurance portfolio is assumed to be affected by the same number of risk factors. One can, however, imagine situations where this may be a restriction to the model. We thus propose a generalization of the original model where the number of risk factors can vary per contract. This is done by introducing a new category for each risk factor representing the fact of not being affected by the risk factor. The main effect on formulae is that credibility factors are replaced by some other function when used as weights.

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Cites work

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Cited in

(5)

• Quantiles in a multi-stage nested classification credibility model
• Classification croisée et modèles
• A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates
• A Spatial Cross-Sectional Credibility Model with Dependence Among Risks
• Optimal credibility estimation of random parameters in hierarchical random effect linear model

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