q-Credibility

Olivier Le Courtois
Additional contact information
Olivier Le Courtois: EM - EMLyon Business School

Post-Print from HAL

Abstract: This article extends uniform exposure credibility theory by making quadratic adjustments that take into account the squared values of past observations. This approach amounts to introducing non-linearities in the framework, or to considering higher order cross moments in the computations. We first describe the full parametric approach and, for illustration, we examine the Poisson-gamma and Poisson-Pareto cases. Then, we look at the non-parametric approach where premiums can only be estimated from data and no type of distribution is postulated. Finally, we examine the semi-parametric approach where the conditional distribution is Poisson but the unconditional distribution is unknown. For all of these approaches, the mean square error is, by construction, smaller in the q-credibility framework than in the standard framework.

Keywords: Credibility; Quadratic Approximation; Parametric; Non-Parametric; Semi-Parametric; Poisson-Gamma; Poisson-Pareto; Uniform Exposure (search for similar items in EconPapers)
Date: 2020-03-30
Note: View the original document on HAL open archive server: https://hal.science/hal-02525182v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Variance, 2020, FORTH

Downloads: (external link)
https://hal.science/hal-02525182v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02525182

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().