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Structural Parameter Estimation Using Generalized Estimating Equations for Regression Credibility Models

Published online by Cambridge University Press:  17 April 2015

Chi Ho Lo ,
Wing Kam Fung  and
Zhong Yi Zhu
Wing Kam Fung
Affiliation:
Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China, Tel.: +852 2859 1988, Fax: +852 2858 9041, E-mail: wingfung@hku.hk
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Abstract

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A generalized estimating equations (GEE) approach is developed to estimate structural parameters of a regression credibility model with independent or moving average errors. A comprehensive account is given to illustrate how GEE estimators are worked out within an extended Hachemeister (1975) framework. Evidenced by results of simulation studies, the proposed GEE estimators appear to outperform those given by Hachemeister, and have led to a remarkable improvement in accuracy of the credibility estimators so constructed.

Keywords

Credibility theoryHachemeister modelgeneralized estimating equations (GEE)regression modelrandom effects models
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 37 , Issue 2 , November 2007 , pp. 323 - 343
Copyright
Copyright © ASTIN Bulletin 2007

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