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Credibility, Hypothesis Testing and Regression Software

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  • Taylor, Greg

Abstract

It has been known since Zehnwirth (1977) that a scalar credibility coefficient is closely related to the F-statistic of an analysis of variance between and within risk clauses. The F-statistic may also be viewed as testing a certain regression structure, associated with credibility framework, against the null hypothesis of a simpler structure.This viewpoint is extended to multi-dimensional credibility frameworks in which the credibility coefficient is a matrix (Sections 3 and 4), and to hierarchical regression credibility frameworks (Section 6). In each case the credibility coefficient is expressed in terms of the F-statistic that tests the significance of a defined regression structure against a simpler one.Section 5 points out how the computation may be implemented in certain cases by means of regression software.

Suggested Citation

  • Taylor, Greg, 2007. "Credibility, Hypothesis Testing and Regression Software," ASTIN Bulletin, Cambridge University Press, vol. 37(2), pages 517-535, November.
    • Handle: RePEc:cup:astinb:v:37:y:2007:i:02:p:517-535_01
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