Robust Credibility1

Alois Gisler and Peter Reinhard

ASTIN Bulletin, 1993, vol. 23, issue 1, 117-143

Abstract: Outlier observations caused by big claims or by an event producing a series of claims are a special problem in ratemaking and in tariff calculation. The authors believe that combining credibility and robust statistics is the right answer to this problem. The main idea is to robustify the individual claims experience by using a robust estimator Ti instead of the individual mean and to look at the credibility estimator based on the robust statistics {Ti: i = 1, 2, …} . Choosing a particular influence function leads to datatrimming with an observation-dependent trimming point.

Date: 1993
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