Abstract
The problem of credibility estimation can be approached from a number of different directions (Gerber, 1982), but in most cases the authors stop with the determination of point estimators. Yet an investigator would also want some information about the error structure of these estimators. Variances of the estimators in an empirical Bayes setting for the basic model (Bühlmann and Straub, 1972) when the model variance is known are developed by Morris (1983a,b). Similar results with all variances unknown are developed by Klugman (1985b). Distributions for use in hypothesis tests are given in most linear models texts (e.g., Graybill, 1961). They are summarized for credibility models by Klugman (1985a).
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© 1987 D. Reidel Publishing Company, Dordrecht, Holland
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Klugman, S. (1987). Inference in the Hierarchical Credibility Model. In: MacNeill, I.B., Umphrey, G.J., Chan, B.S.C., Provost, S.B. (eds) Actuarial Science. The University of Western Ontario Series in Philosophy of Science, vol 39. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-4796-2_7
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DOI: https://doi.org/10.1007/978-94-009-4796-2_7
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