Linearly sufficient fun with credibility

DOI10.1016/0167-6687(91)90025-SMaRDI QIDQ808604zbMATH OpenFDO

Authors Bjørn Sundt

Publication date 1991

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

Full work available at URL https://doi.org/10.1016/0167-6687(91)90025-S

zbMATH Keywords

Bühlmann-Straub modelcredibility estimatorlinear sufficiencysufficiency

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

let T be a nonrandom matrix. The statistic Tx is linearly sufficient for y if the credibility estimator of y based on x is equal to the credibility estimator of y based on Tx. It is well-known that if a statistic is linearly sufficient in a credibility estimation problem it is usually much simpler to find the coefficients of the credibility estimator. In the present note some techniques for showing that a statistic is linearly sufficient are discussed. In particular, the relation between sufficiency and linear sufficiency is analyzed, and the Bühlmann-Straub model is discussed in the light of linear sufficiency.

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Cites work

• A multi-level hierarchical credibility regression model
• Choice of statistics in linear Bayes estimation
• Credibility and relative exchangeability
• Finite credibility formulae in evolutionary models
• Hierarchical credibility: analysis of a random effect linear model with nested classification
• scientific article; zbMATH DE number 49599 (Why is no real title available?)
• scientific article; zbMATH DE number 3314912 (Why is no real title available?)
• Recursive credibility estimation

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