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On Parameter Estimation in Hierarchical Credibility

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  • Belhadj, Hassine
  • Goulet, Vincent
  • Ouellet, Tommy

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.

Suggested Citation

  • Belhadj, Hassine & Goulet, Vincent & Ouellet, Tommy, 2009. "On Parameter Estimation in Hierarchical Credibility," ASTIN Bulletin, Cambridge University Press, vol. 39(2), pages 495-514, November.
    • Handle: RePEc:cup:astinb:v:39:y:2009:i:02:p:495-514_00
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