Parameter Estimation in Credibility Theory

Fl. De Vylder

ASTIN Bulletin, 1978, vol. 10, issue 1, 99-112

Abstract: The problem of distribution-free parameter estimation in recent credibility theory is discussed in the papers [1], [3] and [4] of the bibliography. Here, we consider a multiclass model with regression assumption. In that case, already treated by Ch. Hachemeister, [3], this author obtains an unsymmetrical matrix as an estimator of a covariance matrix. Of course, for practical use, this matrix is symmetrized in the obvious way. We show that this procedure can be avoided and that a lot of symmetrical unbiased estimators can be obtained at once. By particularisations to the 1-rank model, we find the estimators given by Bühlmann and Straub, [1], [4]. In the multirank case, a generalization of the minimumvariance principle (minimization of the trace of the covariance matrix) leads to an optimal estimator of the mean regression vector. A noteworthy conclusion of our discussion is that there is no difference at all between the various credibility formulae (the inhomogenous formula, the homogeneous formula, the meanfree formula) if the mean regression vector is estimated optimally. Finally we show that it must not be hoped to find, in a large set of unbiased estimators of the covariance matrix, one estimator furnishing, always, a semidefinite positive estimate.

Date: 1978
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