Estimation of structural parameters in balanced Bühlmann credibility model with correlation risk

Yang Yang and Lichun Wang

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 8, 2945-2960

Abstract: In this paper, the longitudinal data analysis is used to interpret the balanced Bühlmann credibility model with correlation risk, and the homogeneous credibility estimator is derived. We obtain the restricted maximum likelihood estimators (RMLE) for the structural parameters involved in the credibility factor and show that they are unbiased. In addition, the linear Bayes method is employed to estimate the structural parameters, and the proposed linear Bayes estimators (LBE) appear to outperform RMLE in terms of the mean squared error matrix (MSEM) criterion. Simulation studies show that the proposed LBE performs well.

Date: 2024
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DOI: 10.1080/03610926.2022.2150057

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