Sample Size Determination for Credibility Estimation

Liang Hong

North American Actuarial Journal, 2022, vol. 26, issue 4, 485-495

Abstract: The credibility estimator has been successfully and widely applied by practitioners in the insurance industry for decades. However, an important issue remains unresolved: What sample size should the actuary choose when he or she applies the credibility estimator? In particular, is the size of a given claims dataset large enough for the credibility estimator to be accurate? This article aims to address this issue by first suggesting a sample size criterion for the credibility estimator and then proposing a sample size based on that. The proposed sample size is easy to apply, and it guarantees provable accuracy for credibility estimation.

Date: 2022
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DOI: 10.1080/10920277.2021.2003209

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