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Credibility Theory and Generalized Linear Models

Published online by Cambridge University Press:  29 August 2014

J.A. Nelder  and
R.J. Verrall
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Abstract

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This paper shows how credibility theory can be encompassed within the theory of Hierarchical Generalized Linear Models. It is shown that credibility estimates are obtained by including random effects in the model. The framework of Hierarchical Generalized Linear Models allows a more extensive range of models to be used than straightforward credibility theory. The model fitting and testing procedures can be carried out using a standard statistical package. Thus, the paper contributes a further range of models which may be useful in a wide range of actuarial applications, including premium rating and claims reserving.

Keywords

Credibility TheoryHierarchical Generalized Linear ModelsGeneralized Linear ModelsPremium RatingRandom-Effect Models
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 27 , Issue 1 , May 1997 , pp. 71 - 82
Copyright
Copyright © International Actuarial Association 1997

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