Garrido, Jose and Zhou, Jun
Credibililty Theory for Generalized Linear and Mixed Models.
Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.
- Published Version
Generalized linear models (GLMs) are gaining popularity as a statistical analysis method for insurance data. For segmented portfolios, as in car insurance, the question of credibility arises naturally; how many observations are needed in a risk class before the GLM estimators can be considered credible? In this paper we study the limited fluctuations credibility of the GLM estimators as well as in the extended case of generalized linear mixed model (GLMMs). We show how credibility depends on the sample size, the distribution of covariates and the link function. This provides a mechanism to obtain confidence intervals for the GLM and GLMM estimators.
|Divisions:||Concordia University > Faculty of Arts and Science > Mathematics and Statistics|
|Item Type:||Monograph (Technical Report)|
|Authors:||Garrido, Jose and Zhou, Jun|
|Series Name:||Department of Mathematics & Statistics. Technical Report No. 5/06|
Authors:||Concordia University. Department of Mathematics & Statistics|
|Keywords:||GLMs, GLMMs, limited fluctuations credibility, confidence intervals|
|Deposited On:||03 Jun 2010 20:49|
|Last Modified:||04 Nov 2016 22:58|
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