Credibility Analysis of Risk Classes by Generalized Linear Model

ERDEMİR Ö. G., SUCU M.

International Conference on Numerical Analysis and Applied Mathematics (ICNAAM), Rhodes, Yunanistan, 23 - 29 Eylül 2015, cilt.1738 identifier identifier

  • Yayın Türü: Bildiri / Tam Metin Bildiri
  • Cilt numarası: 1738
  • Doi Numarası: 10.1063/1.4951828
  • Basıldığı Şehir: Rhodes
  • Basıldığı Ülke: Yunanistan
  • Hacettepe Üniversitesi Adresli: Evet

Özet

In this paper generalized linear model (GLM) and credibility theory which are frequently used in nonlife insurance pricing are combined for reliability analysis. Using full credibility standard, GLM is associated with limited fluctuation credibility approach. Comparison criteria such as asymptotic variance and credibility probability are used to analyze the credibility of risk classes. An application is performed by using one-year claim frequency data of a Turkish insurance company and results of credible risk classes are interpreted.