The Sample Size Needed for the Calculation of a GLM Tariff

Hans Schmitter

ASTIN Bulletin, 2004, vol. 34, issue 1, 249-262

Abstract: A simple upper bound for the variance of the frequency estimates in a multivariate tariff using class criteria is deduced. This upper bound is based exclusively on univariate statistics and can, therefore, be calculated before a GLM analysis is carried out. It can be used to estimate the number of claims that will be needed for a tariff calculation depending on the number of tariff criteria and the number of levels of each criterion. The article is a revised version of a paper presented at the XXXIst ASTIN Colloquium in Porto Cervo.

Date: 2004
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