On Parameter Estimation in Hierarchical Credibility

Hassine Belhadj, Vincent Goulet and Tommy Ouellet

ASTIN Bulletin, 2009, vol. 39, issue 2, 495-514

Abstract: One can find in the literature three main sets of estimators for the variance components in the hierarchical credibility model. This paper presents these estimators in a unified notation, studies some of their properties important for numerical evaluation and compares their relative performance by simulation. The paper also demonstrates how function cm of the R package actuar can be used to fit hierarchical models to insurance data.

Date: 2009
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