Journal article
Credibility Models with Time-Varying Trend Components
ASTIN bulletin, Vol.21(1), pp.73-91
04/1991
DOI: 10.2143/AST.21.1.2005402
Abstract
Traditional credibility models have treated the process generating the losses as stable over time, perhaps with a deterministic trend imposed. However, there is ample evidence that these processes are not stable over time. What is required is a method that allows for time-varying parameters in the process, yet still provides the shrinkage needed for sound ratemaking. In this paper we use an automobile insurance example to illustrate how this can be accomplished.
Details
- Title: Subtitle
- Credibility Models with Time-Varying Trend Components
- Creators
- Johannes Ledolter - University of IowaStuart Klugman - Drake UniversityChang-Soo Lee - University of Iowa
- Resource Type
- Journal article
- Publication Details
- ASTIN bulletin, Vol.21(1), pp.73-91
- Publisher
- Cambridge University Press
- DOI
- 10.2143/AST.21.1.2005402
- ISSN
- 0515-0361
- eISSN
- 1783-1350
- Number of pages
- 19
- Alternative title
- JOHANNES LEDOLTER, STUART KLUGMAN, CHANG-SOO LEE; CREDIBILITY MODELS WITH TIME-VARYING TREND COMPONENTS
- Language
- English
- Date published
- 04/1991
- Academic Unit
- Business Analytics; Statistics and Actuarial Science
- Record Identifier
- 9984380490402771
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