Multidimensional credibility model and its application

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dc.contributor.authorPacáková, Viera
dc.contributor.authorŠoltés, Erik
dc.contributor.authorLinda, Bohdan
dc.date.accessioned2016-01-21T12:02:04Z
dc.date.available2016-01-21T12:02:04Z
dc.date.issued2014
dc.description.abstract-translatedSolvency 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.format15 s.cs
dc.format.mimetypeapplication/pdf
dc.identifier.citationE+M. Ekonomie a Management = Economics and Management. 2014, č. 2, s. 170-184.cs
dc.identifier.doidx.doi.org/10.15240/tul/001/2014-2-013
dc.identifier.issn1212-3609 (Print)
dc.identifier.issn2336-5604 (Online)
dc.identifier.urihttp://www.ekonomie-management.cz/download/1402489593_5de2/12_MULTIDIMENSIONAL+CREDIBILITY+MODEL+AND+ITS+APPLICATION.pdf
dc.identifier.urihttp://hdl.handle.net/11025/17561
dc.language.isoenen
dc.publisherTechnická univerzita v Libercics
dc.relation.ispartofseriesE+M. Ekonomie a Management = Economics and Managementcs
dc.rights© Technická univerzita v Libercics
dc.rightsCC BY-NC 4.0cs
dc.rights.accessopenAccessen
dc.subjectprémiová důvěryhodnostcs
dc.subjectBühlmann-Straubův modelcs
dc.subjectvícerozměrný model důvěryhodnostics
dc.subjectodhad strukturálních parametrůcs
dc.subjectpovinné ručení motorového vozidla třetí stranycs
dc.subject.translatedcredibility premiumen
dc.subject.translatedBühlmann-Straub modelen
dc.subject.translatedmultidimensional credibility modelen
dc.subject.translatedestimation of structural parametersen
dc.subject.translatedotor vehicle third party liability insuranceen
dc.titleMultidimensional credibility model and its applicationen
dc.typečlánekcs
dc.typearticleen
dc.type.statusPeer-revieweden
dc.type.versionpublishedVersionen

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Číslo 2 (2014)
Číslo 2 (2014)