Regression credibility estimator with two-level common effects

Abstract

In this paper, we extend the regression credibility model to account for a type of dependence structures over individual risks and portfolio risks induced by common effects. By using orthogonal projection approach, the corresponding credibility estimators are derived, which extend those for the existing models to slightly more general versions. Finally, a numerical example is presented to show the effectiveness of the regression credibility estimator.

Keywords:

• Regression credibility
• common effect
• credibility estimator
• orthogonal projection

MATHEMATICS SUBJECT CLASSIFICATION (2010):

• Primary: 62P05
• 91B30
• Secondary: 97M30

Additional information

Funding

This study was supported partially by The National Natural Science Foundation of P.R. China (11271189, 11861064) and The Scientific Research Innovation Project of Jiangsu Province (KYZZ116_0175).