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Robust Methods for Credibility

Künsch, Hans R.

In: ASTIN Bulletin, 1992, vol. 22, no. 1, p. 33-49

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    Titel
    • Robust Methods for Credibility
    Autor
    • Künsch, Hans R.. ETH, Zürich, Switzerland
    Dokumententyp
    • Postprint
    Sprache
    • Englisch
    Veröffentlicht in
    • ASTIN Bulletin, 1992, vol. 22, no. 1, p. 33-49. Cambridge University Press
    Andere elektronische Ausgabe
    OAI-PMH-ID
    • oai:doc.rero.ch:295474
    Summary
    Excess claims lead to an unsatisfactory behavior of standard linear credibility estimators. We suggest in this paper to use robust methods in order to obtain better estimators. Our first proposal is the linear credibility estimator with the claims replaced by a robust M-estimator of scale calculed from the claims. This corresponds to a truncation of the claims with a truncation point depending on the data and different for each contract. We discuss the properties of the robust M-estimator and present several examples. In order to improve the performance for a very small number of years, we propose a second estimator, which incorporates information from other claims into the M-estimator