Combining generalized linear models and credibility models in practice

Esbjörn Ohlsson

Scandinavian Actuarial Journal, 2008, vol. 2008, issue 4, 301-314

Abstract: Rating of non-life insurance contracts commonly employs multiplicative models, which are estimated by generalized linear models (GLMs); another useful tool for rate making are credibility models. The object of this paper is to demonstrate how these can be combined in practice, to solve the problem with multi-level factors – rating factors with too many levels for GLM estimation. In particular, we consider car model classification in motor insurance, using data from a Swedish insurance company.

Date: 2008
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DOI: 10.1080/03461230701878612

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