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Sample Size Determination for Credibility Estimation

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  • Liang Hong

Abstract

The credibility estimator has been successfully and widely applied by practitioners in the insurance industry for decades. However, an important issue remains unresolved: What sample size should the actuary choose when he or she applies the credibility estimator? In particular, is the size of a given claims dataset large enough for the credibility estimator to be accurate? This article aims to address this issue by first suggesting a sample size criterion for the credibility estimator and then proposing a sample size based on that. The proposed sample size is easy to apply, and it guarantees provable accuracy for credibility estimation.

Suggested Citation

  • Liang Hong, 2022. "Sample Size Determination for Credibility Estimation," North American Actuarial Journal, Taylor & Francis Journals, vol. 26(4), pages 485-495, November.
    • Handle: RePEc:taf:uaajxx:v:26:y:2022:i:4:p:485-495
    DOI: 10.1080/10920277.2021.2003209
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