Panel data models in credibility theory and an application for the motor third party liability insurance
Abstract
In this study, credibility theory and panel data regression models are explained in general terms, the link
between the credibility models and panel data models is investigated. Bühlmann, Bühlmann-Straub and
Jewell’s hierarchical credibility models that are given under greatest accuracy credibility approach, are
examined as special cases of mixed linear models. By using data set concerning the motor third party liability
insurance, the credibility premiums are calculated under these credibility models for all provinces of Turkey.
References
- B. H. Baltagi, (2001) Econometric Analaysis of Panel Data, Second Edition, Wiley, New York.
- H. Bühlmann, (1967), Experience Rating and Credibility, ASTIN Bulletin, 4:199-207.
- H. Bühlmann, E. Straub, (1970), Glaubwürdigkeit für Schadensätze, Mitteilungen der Vereinigung,
- Schweizerischer Versicherungsmathematiker, 70 (1):111-133.
- D. R. Dannenburg, R. Kaas, M. J. Goovaerts, (1996), Practical Actuarial Credibility Models, Institute of Actuarial Science and Econometrics, University of Amsterdam, The Netherlands.
- E. W. Frees, V. R. Young, Y. Lou, (1999), A Longitudinal Data Analysis Interpretation of Credibility Models, Insurance: Mathematics and Economics, 24: 229-247.
- E. W. Frees, V. R. Young, Y. Lou, (2001), Case Studies Using Panel Data Models, North American Actuarial Journal.
- E. W. Fress, (2004), Longitudinal and Panel Data: Analysis and the Applications in the Social Sciences, Cambridge University Press, U.K.
- E. W. Frees, P. Wang, (2005), Credibility Using Copulas, North American Actuarial Journal, 9 (2), pp.31–48.
- W. H.Greene, (2003), Econometric Analysis, New York University.
- T. L. Herzog, (1999), Introduction to Credibility Theory, third adition, ACTEX. Abington.
- C. Hsiao, (2002), Analysis of Panel Data, Second Edition, Cambridge University Press.
- W.S. Jewell, (1975), The Use of Collateral Data in Credibility Theory: a Hierarchical Model, Giornale dell'Istituto Italiano degli Attuari, 38, 1-16.
- R. Kaas, M. Goovaerts, J. Dhaene, M. Denuit (2001), Modern Actuarial Risk Theory, Kluwer Academic Publisher, Dordrecht, The Netherlands.
- S. Klugman, H. Panjer, G. Willmot, (2004), Loss Models from Data to Decisions. Willey, New York.
- L.H. Longley-Cook, (1962), An Introduction to Credibility Theory, Proceeding of the Casualty Actuarial Society 49, 194-221.
- S.R. Searle, G. Casella, C. E. McCulloch, (1992), Variance Components, New York.
- A. entürk, (2010), Kredibilite Teorisinde Panel Veri Modelleri, Yüksek Lisans Tezi, Hacettepe Üniversitesi, Ankara.
Abstract
Bu çalışmada, kredibilite kuramı ve panel veri regresyon modelleri genel
hatlarıyla açıklanmış, kredibilite modelleri ile panel veri modelleri arasındaki
bağlantı araştırılmıştır. En fazla kesinlik kredibilite yaklaşımı altında
verilen Bühlmann, Bühlmann-Straub ve Jewell’in hiyerarşik kredibilite
modelleri, karışık doğrusal modellerin özel durumları olarak incelenmiştir. Trafik
sigortasına ilişkin veri kümesi kullanılarak, bu kredibilite modelleri altında,
Türkiye’nin tüm illeri için kredibilite
primleri hesaplanmıştır.
Keywords
Kredibilite kuramı Kredibilite modelleri Kredibilite primi Panel veri modelleri Karışık doğrusal modeller En iyi doğrusal yansız önkestirici
References
- B. H. Baltagi, (2001) Econometric Analaysis of Panel Data, Second Edition, Wiley, New York.
- H. Bühlmann, (1967), Experience Rating and Credibility, ASTIN Bulletin, 4:199-207.
- H. Bühlmann, E. Straub, (1970), Glaubwürdigkeit für Schadensätze, Mitteilungen der Vereinigung,
- Schweizerischer Versicherungsmathematiker, 70 (1):111-133.
- D. R. Dannenburg, R. Kaas, M. J. Goovaerts, (1996), Practical Actuarial Credibility Models, Institute of Actuarial Science and Econometrics, University of Amsterdam, The Netherlands.
- E. W. Frees, V. R. Young, Y. Lou, (1999), A Longitudinal Data Analysis Interpretation of Credibility Models, Insurance: Mathematics and Economics, 24: 229-247.
- E. W. Frees, V. R. Young, Y. Lou, (2001), Case Studies Using Panel Data Models, North American Actuarial Journal.
- E. W. Fress, (2004), Longitudinal and Panel Data: Analysis and the Applications in the Social Sciences, Cambridge University Press, U.K.
- E. W. Frees, P. Wang, (2005), Credibility Using Copulas, North American Actuarial Journal, 9 (2), pp.31–48.
- W. H.Greene, (2003), Econometric Analysis, New York University.
- T. L. Herzog, (1999), Introduction to Credibility Theory, third adition, ACTEX. Abington.
- C. Hsiao, (2002), Analysis of Panel Data, Second Edition, Cambridge University Press.
- W.S. Jewell, (1975), The Use of Collateral Data in Credibility Theory: a Hierarchical Model, Giornale dell'Istituto Italiano degli Attuari, 38, 1-16.
- R. Kaas, M. Goovaerts, J. Dhaene, M. Denuit (2001), Modern Actuarial Risk Theory, Kluwer Academic Publisher, Dordrecht, The Netherlands.
- S. Klugman, H. Panjer, G. Willmot, (2004), Loss Models from Data to Decisions. Willey, New York.
- L.H. Longley-Cook, (1962), An Introduction to Credibility Theory, Proceeding of the Casualty Actuarial Society 49, 194-221.
- S.R. Searle, G. Casella, C. E. McCulloch, (1992), Variance Components, New York.
- A. entürk, (2010), Kredibilite Teorisinde Panel Veri Modelleri, Yüksek Lisans Tezi, Hacettepe Üniversitesi, Ankara.
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Engineering |
| Journal Section | Articles |
| Authors | |
| Publication Date | June 30, 2010 |
| Published in Issue | Year 2010 Volume: 3 Issue: 1 |