Credibility Models

Abstract

The credibility model (6.21) may be adapted to the context of loss statistics as follows:

$$E[Y\mathop {(i,j)}\limits_{1 \times 1} \left| {\theta (i,j)} \right.] = X\mathop {(i,j)}\limits_{1 \times p} \beta \mathop {[\theta (i,j)]}\limits_{p \times 1} ,$$

((9.1))

where Y is some array of loss statistics indexed in the usual way by period of origin i and development period j.