Multidimensional credibility model and its application

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dc.contributor.authorPacáková, Viera
dc.contributor.authorŠoltés, Erik
dc.contributor.authorLinda, Bohdan
dc.contributor.otherEkonomická fakultacs
dc.date.accessioned2014-06-05
dc.date.available2014-06-05
dc.date.defense2014-06-11
dc.description.abstractSolvency II project places emphasis on the modelling and management of risks of the insurance companies. This requires further improvement in actuarial methods and their application in insurance practice. Improving the quality of premium calculation methods is an effective factor in reducing the insurance technical risk of an insurer. Presentation the methods of premium calculation and its permanent updating is the aim of this article. Credibility theory is an experience rating technique to determine premiums, claim frequencies or claim sizes. Credibility models are based on the realistic concept of a heterogeneous insurance portfolio. Therefore, two sources of information are used in the calculation of the credibility estimators for the individual risk: typically little knowledge about the individual risk and quite extensive statistical information about entire portfolio. The most important model in the credibility theory is Bühlmann-Straub model. This model has a wide range of possibilities to be used in praxis mainly in general insurance. Besides that this model is a basis for other more specific models such as hierarchical, multidimensional or regression credibility models. In this article we deal with generalisation of one-dimensional Bühlmann-Straub credibility model to the multidimensional credibility model. We mainly focus on estimation of so-called structural parameters and usage of SAS Enterprise Guide application when estimating. The multidimensional Bühlmann-Straub credibility model is applied based the real data in motor vehicle third party liability insurance.en
dc.formattext
dc.format.extent170-184 s.cs
dc.identifier.doi10.15240/tul/001/2014-2-013
dc.identifier.eissn2336-5604
dc.identifier.issn12123609
dc.identifier.urihttps://dspace.tul.cz/handle/15240/7066
dc.language.isoen
dc.publisherTechnická Univerzita v Libercics
dc.publisherTechnical university of Liberec, Czech Republicen
dc.publisher.abbreviationTUL
dc.relation.isbasedonŠOLTÉS, E. Modely kredibility na výpočet poistného. Bratislava: Vydavateľstvo Ekonóm, 2009. ISBN 978-80-225-2798-9.
dc.relation.isbasedonPACÁKOVÁ, V. Aplikovaná poistná štatistika. Bratislava: IURA Edition, 2004. ISBN 80-8078-004-8.
dc.relation.isbasedonKAAS, R., GOOVAERTS, M. J., DHAENE, J., DENUIT, M. Modern actuarial risk theory. Boston: Kluwer academic publishers, 2001. ISBN 1-4020-2952-7.
dc.relation.isbasedonHERZOG, T. N. Introduction to credibility theory. 3rd ed. Winsted: ACTEX Publications, 1999. ISBN 978-1566983747.
dc.relation.isbasedonGOOVAERTS, M. J., KAAS, R., VAN HEERWAARDEN, A. E., BAUWELINCK, T. Effective Actuarial Methods. Amsterdam: North-Holland, 1990. ISBN 978-0444883995.
dc.relation.isbasedonDANNENBURG, D. R. Basic actuarial credibility models – Evaluations and extensions. Amsterdam, 1996. Dissertation thesis (PhD.). Tinbergen Institute.
dc.relation.isbasedonBÜHLMANN, H., STRAUB, E. Glaubwürdigkeit für Schadensätze. Mitteilungen der Vereinigung Schweizerischer Versicherungs-mathematiker. 1970, Vol. 70, pp. 111–133.
dc.relation.isbasedonBÜHLMANN, H., GISLER, A., KOLLÖFFEL, D. Multidimensional Credibility applied to estimating the frequency of big claims. ASTIN Bulletin [online]. ETH Zürich and Winterthur Insurance Company, 2003. [cit. 2010-10-22]. 34 p. (PDF). Available from: http://www.actuaries.org/ASTIN/Colloquia/Berlin/Buhlmann_Gisler_Kolloffel.pdf.
dc.relation.isbasedonBÜHLMANN, H., GISLER, A. A Course in Credibility Theory and its Applications. Berlin: Springer, 2005. ISBN 3540257535.
dc.relation.ispartofEkonomie a Managementcs
dc.relation.ispartofEconomics and Managementen
dc.relation.isrefereedtrue
dc.rightsCC BY-NC
dc.subjectmanagementen
dc.subjectinternal communicationen
dc.subjectcompany communicationen
dc.subjectcompetitivenessen
dc.subjectprofitabilityen
dc.subject.classificationC11
dc.subject.classificationC13
dc.subject.classificationG22
dc.titleMultidimensional credibility model and its applicationen
dc.typeArticleen
local.accessopen
local.citation.epage184
local.citation.spage170
local.facultyFaculty of Economics
local.fulltextyes
local.relation.abbreviationE&Men
local.relation.abbreviationE+Mcs
local.relation.issue2
local.relation.volume17
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