컨텐츠 시작
학술대회/행사
초록검색
| 제출번호(No.) | 0503 |
|---|---|
| 분류(Section) | Poster Session |
| 분과(Session) | Probability / Stochastic Process / Statistics (SS-12) |
| 영문제목 (Title(Eng.)) |
[CANCELLED] Normal common effects in hierarchical credibility models with claim dependence |
| 저자(Author(s)) |
Mahdi Ebrahimzadeh1 Bank Melli Iran1 |
| 초록본문(Abstract) | In pricing an insurance contract, the premium is determined by assessing the observable claims from a portfolio of such homogeneous contracts. However, no rating system is perfect, and there always remains some heterogeneity in the risk levels after all the underwriting criteria are accounted for. One method to correct for this heterogeneity is to introduce claim dependence. Some credibility models typically allow for one source of claim dependence only, that, is across time for an individual insured risk or a group of homogeneous insured risks. Several credibility models have been developed for the two-level common effects model, which allows for two possible sources of dependence, namely, one across time for the same individual risk and another between risks. In this paper, we establish the notion of modeling claim dependence simultaneously across portfolios, across individuals and across time within individuals using a three-level common effects model. This model is shown to be the best predictor of the next period claim for a single individual in the mean-squared error sense. Then, we conjecture the hierarchical structure formulas for the credibility model with h-level of common effects, and we derive explicit formulas for the credibility premium. The study also considers the problem when the common effects follow Normal distributions. |
| 분류기호 (MSC number(s)) |
62P05 |
| 키워드(Keyword(s)) | credibility premiums, common effects, risk dependence, hierarchical structure |
| 강연 형태 (Language of Session (Talk)) |
English |