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1 results

  • Full Credibility with Generalized Linear and Mixed Models

  • José Garrido, Jun Zhou
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 39 / Issue 1 / May 2009
    Published online by Cambridge University Press:
    09 August 2013, pp. 61-80
    Print publication:
    May 2009

  • 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.