Skip to main content
Article thumbnail
Location of Repository

AN EXAMPLE OF CREDIBILITY AND SHIFTING RISK PARAMETERS

By Howard C. Mahler

Abstract

In this paper. the won-lost record of baseball teams will be used to examine and illustrate credibility concepts. This illustrative example is analogous to the use of experience rating in insurance. It provides supplementary reading ma-terial for students who are studying credibility theory. This example illustrates a situation where the phenomenon of shifring parameters over time has a very significant impact. The effects of this phenomenon are examined. Three different criteria that can be used to select the #primal credibility are examined: least squares, limited jluc-tuation and MeyersJDorweiler. In applications, one or more of these three criteria should be useful. it is shown that the mean squared error can be written as a second order polynomial in the credibilities with the coef-jicients of this polynomial written in terms of the covariance structure of the data. It is then shown that linear equation(s) can be solved for the least squares credibiliries in terms of the covariance structure. The author wishes to thank Julie Jannuzzi and Gina Brewer for typing this paper 1

Year: 2009
OAI identifier: oai:CiteSeerX.psu:10.1.1.134.9323
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://www.casact.org/pubs/pro... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.