Panel data models in credibility theory and an application for the motor third party liability insurance

Year 2010, Volume 3, Issue 1, 17 - 36, 30.06.2010

A. ŞENTÜRK C. ERDEMİR

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.

Keywords

Credibility theory; Credibility models; Credibility premium; Panel data models; Mixed linear models; Best linear unbiased predictor

Kredibilite kuramında panel veri modelleri ve trafik sigortası için bir uygulama

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

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