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On Parameter Estimation in Hierarchical Credibility

Published online by Cambridge University Press:  09 August 2013

Hassine Belhadj ,
Vincent Goulet  and
Tommy Ouellet
Hassine Belhadj
Affiliation:
École d'actuariat, Pavillon Alexandre-Vachon, 1045, avenue de la Médecine, Université Laval, Québec (QC) G1V 0A6, Canada, Email: hassine.belhadj.1@ulaval.ca
Vincent Goulet
Affiliation:
École d'actuariat, Pavillon Alexandre-Vachon, 1045, avenue de la Médecine, Université Laval, Québec (QC) G1V 0A6, Canada, Email: vincent.goulet@act.ulaval.ca
Tommy Ouellet
Affiliation:
Morneau Sobeco, Tour de la Bourse – Place Victoria, 800 rue du Square-Victoria, bureau 4000, C.P. 211, Montréal (QC) - H4Z 0A4, Email: touellet@morneausobeco.com
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Abstract

One can find in the literature three main sets of estimators for the variance components in the hierarchical credibility model. This paper presents these estimators in a unified notation, studies some of their properties important for numerical evaluation and compares their relative performance by simulation. The paper also demonstrates how function cm of the R package actuar can be used to fit hierarchical models to insurance data.

Keywords

Hierarchicalcredibilityvariance componentsRactuar
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 39 , Issue 2 , November 2009 , pp. 495 - 514
Copyright
Copyright © International Actuarial Association 2009

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