Extension and Application of Credibility Models in Predicting Claim Frequency
Joint Authors
Xie, Yuantao
Li, Zheng-xiao
Parsa, Rahul A.
Source
Mathematical Problems in Engineering
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-02-25
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
In nonlife actuarial science, credibility models are one of the main methods of experience ratemaking.
Bühlmann-Straub credibility model can be expressed as a special case of linear mixed models (LMMs) with the underlying assumption of normality.
In this paper, we extend the assumption of Bühlmann-Straub model to include Poisson and negative binomial distributions as they are more appropriate for describing the distribution of a number of claims.
By using the framework of generalized linear mixed models (GLMMs), we obtain the generalized credibility premiums that contain as particular cases another credibility premium in the literature.
Compared to generalized linear mixed models, our extended credibility models also have an advantage in that the credibility factor falls into the range from 0 to 1.
The performance of our models in comparison with an existing model in the literature is also evaluated through numerical studies, which shows that our approach produces premium estimates close to the optima.
In addition, our proposed model can also be applied to the most commonly used ratemaking approach, namely, the net, the optimal Bonus-Malus system.
American Psychological Association (APA)
Xie, Yuantao& Li, Zheng-xiao& Parsa, Rahul A.. 2018. Extension and Application of Credibility Models in Predicting Claim Frequency. Mathematical Problems in Engineering،Vol. 2018, no. 2018, pp.1-8.
https://search.emarefa.net/detail/BIM-1208287
Modern Language Association (MLA)
Xie, Yuantao…[et al.]. Extension and Application of Credibility Models in Predicting Claim Frequency. Mathematical Problems in Engineering No. 2018 (2018), pp.1-8.
https://search.emarefa.net/detail/BIM-1208287
American Medical Association (AMA)
Xie, Yuantao& Li, Zheng-xiao& Parsa, Rahul A.. Extension and Application of Credibility Models in Predicting Claim Frequency. Mathematical Problems in Engineering. 2018. Vol. 2018, no. 2018, pp.1-8.
https://search.emarefa.net/detail/BIM-1208287
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1208287