Multidimensional credibility model and its application
| Autor: | Erik Šoltés, Viera Pacáková, Bohdan Linda |
|---|---|
| Rok vydání: | 2014 |
| Předmět: |
estimation of structural parameters
Estimation Solvency Actuarial science Strategy and Management media_common.quotation_subject Bühlmann-Straubův model Liability insurance vícerozměrný model důvěryhodnosti Bühlmann-Straub model General insurance Credibility theory povinné ručení motorového vozidla třetí strany prémiová důvěryhodnost multidimensional credibility model credibility premium otor vehicle third party liability insurance Credibility Economics Portfolio Quality (business) Business and International Management odhad strukturálních parametrů General Economics Econometrics and Finance media_common |
| Zdroj: | E+M Ekonomie a Management. :170-184 |
| ISSN: | 1212-3609 |
| DOI: | 10.15240/tul/001/2014-2-013 |
| Popis: | Solvency II project places emphasis on the modelling and management of risks of the insurance companies. This requires further improvement in actuarial methods and their application in insurance practice. Improving the quality of premium calculation methods is an effective factor in reducing the insurance technical risk of an insurer. Presentation the methods of premium calculation and its permanent updating is the aim of this article. Credibility theory is an experience rating technique to determine premiums, claim frequencies or claim sizes. Credibility models are based on the realistic concept of a heterogeneous insurance portfolio. Therefore, two sources of information are used in the calculation of the credibility estimators for the individual risk: typically little knowledge about the individual risk and quite extensive statistical information about entire portfolio. The most important model in the credibility theory is Buhlmann-Straub model. This model has a wide range of possibilities to be used in praxis mainly in general insurance. Besides that this model is a basis for other more specific models such as hierarchical, multidimensional or regression credibility models. In this article we deal with generalisation of one-dimensional Buhlmann-Straub credibility model to the multidimensional credibility model. We mainly focus on estimation of so-called structural parameters and usage of SAS Enterprise Guide application when estimating. The multidimensional Buhlmann-Straub credibility model is applied based the real data in motor vehicle third party liability insurance. |
| Databáze: | OpenAIRE |
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