Structural Parameter Estimation Using Generalized Estimating Equations for Regression Credibility Models

Chi Ho Lo, Wing Kam Fung and Zhong Yi Zhu

ASTIN Bulletin, 2007, vol. 37, issue 2, 323-343

Abstract: A generalized estimating equations (GEE) approach is developed to estimate structural parameters of a regression credibility model with independent or moving average errors. A comprehensive account is given to illustrate how GEE estimators are worked out within an extended Hachemeister (1975) framework. Evidenced by results of simulation studies, the proposed GEE estimators appear to outperform those given by Hachemeister, and have led to a remarkable improvement in accuracy of the credibility estimators so constructed.

Date: 2007
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