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Document Details : Title: On Parameter Estimation in Hierarchical Credibility Author(s): BELHADJ, Hassine , GOULET, Vincent , OUELLET, Tommy Journal: ASTIN Bulletin Volume: 39 Issue: 2 Date: 2009 Pages: 495-514 DOI: 10.2143/AST.39.2.2044645 Abstract : One can find in the literature three main sets of estimators for the variance components in the hierarchical credibility model. This paper presents these estimators in a unified notation, studies some of their properties important for numerical evaluation and compares their relative performance by simulation. The paper also demonstrates how function cm of the R package actuar can be used to fit hierarchical models to insurance data. |
