Hierarchical credibility model

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

The hierarchical credibility model is a model that can accommodate more than one risk factor. This model can better describe the condition of a complex insurance data. Hypothetical mean is used as a quantity to be used for a benchmark of premium calculation. The process of estimating value of hypothetical mean can be done by using the orthogonal projection on one of Hilbert spaces that contains a linear combination of past observations. The estimation of hypothetical mean is a function of structural parameters of the model, which are estimated directly from the data. If the estimation of structural parameters that defines the variance on the upper levels of the hierarchical structure is zero, then that next structural parameters can still be counted with the limit. The methods that can be used to estimate these structural parameters are the Ohlsson method and Bühlmann-Gisler method. In this research, the estimation of hypothetical mean using the hierarchical credibility model and the Bühlmann-Straub model are compared. The result is there is a difference between the usage of both methods when applied on the hierarchical credibility model compared to the Bühlmann-Straub model and the estimation with the hierarchical credibility model defines the situation more realistically.

Original languageEnglish
Title of host publicationProceedings of the 6th International Symposium on Current Progress in Mathematics and Sciences 2020, ISCPMS 2020
EditorsTribidasari A. Ivandini, David G. Churchill, Youngil Lee, Yatimah Binti Alias, Chris Margules
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735441132
DOIs
Publication statusPublished - 23 Jul 2021
Event6th International Symposium on Current Progress in Mathematics and Sciences 2020, ISCPMS 2020 - Depok, Indonesia
Duration: 27 Oct 202028 Oct 2020

Publication series

NameAIP Conference Proceedings
Volume2374
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

Conference6th International Symposium on Current Progress in Mathematics and Sciences 2020, ISCPMS 2020
Country/TerritoryIndonesia
CityDepok
Period27/10/2028/10/20

Keywords

  • Buhlmann-Straub model
  • credibility
  • hierarchical
  • premium
  • structural parameter

Fingerprint

Dive into the research topics of 'Hierarchical credibility model'. Together they form a unique fingerprint.

Cite this