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Document Details : Title: Robust Methods for Credibility Author(s): KUNSCH, Hans R. Journal: ASTIN Bulletin Volume: 22 Issue: 1 Date: May 1992 Pages: 33-50 DOI: 10.2143/AST.22.1.2005125 Abstract : Excess claims lead to an unsatisfactory behavior of standard linear ccredibility estimators We suggest in this paper to use robust methods m order to obtain better estimators. Our first proposal is the linear credibility estimator with the claims replaced by a robust M-estimator of scale calculed from the claims. This corresponds to a truncation of the claims with a truncation point depending on the data and different for each contract. We discuss the properties of the robust M-estimator and present several examples. In order to improve the performance for a very small number of years, we propose a second estimator, which incorporates reformation from other clmms into the M-estimator. |
