Multidimensional Credibility Estimators with Random Common Effects and Time Effects

ZHANG Qiang,CUI Qianqian,CHEN Ping

系统科学与复杂性(英文) ›› 2017, Vol. 30 ›› Issue (5) : 1107-1120.

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PDF(210 KB)
系统科学与复杂性(英文) ›› 2017, Vol. 30 ›› Issue (5) : 1107-1120. DOI: 10.1007/s11424-017-5268-8

Multidimensional Credibility Estimators with Random Common Effects and Time Effects

    ZHANG Qiang1 , CUI Qianqian2 , CHEN Ping3
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Multidimensional Credibility Estimators with Random Common Effects and Time Effects

    ZHANG Qiang1 , CUI Qianqian2 , CHEN Ping3
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Abstract

In this paper, multidimensional credibility model with a type of dependence structures over risks and over time is considered. By means of the projection method, the inhomogeneous and homogeneous B¨uhlmann credibility estimators are obtained, which are extended to slightly more general versions. The inhomogeneous estimator can be expressed as the weighted sum of individual mean, overall sample mean and collective mean. In addition, the estimations of structural parameters are also investigated.

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ZHANG Qiang,CUI Qianqian,CHEN Ping. Multidimensional Credibility Estimators with Random Common Effects and Time Effects. 系统科学与复杂性(英文), 2017, 30(5): 1107-1120 https://doi.org/10.1007/s11424-017-5268-8
ZHANG Qiang , CUI Qianqian , CHEN Ping. Multidimensional Credibility Estimators with Random Common Effects and Time Effects. Journal of Systems Science and Complexity, 2017, 30(5): 1107-1120 https://doi.org/10.1007/s11424-017-5268-8
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