Structural parameter estimation using generalized estimating equations for regression credibility models

被引：3
|
作者：
Lo, Chi Ho [1 ]
Fung, Wing Kam [1 ]
Zhu, Zhong Yi [1 ]
机构：
[1] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
来源：
ASTIN BULLETIN | 2007年 / 37卷 / 02期
关键词：
credibility theory; Hachemeister model; generalized estimating equations (GEE); regression model; random effects models;
D O I：
10.2143/AST.37.2.2024070
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A generalized estimating equations (GEE) approach is developed to estimate structural parameters of a regression credibility model with independent or moving average errors. A comprehensive account is given to illustrate how GEE estimators are worked out within an extended Hachemeister (1975) framework. Evidenced by results of simulation studies, the proposed GEE estimators appear to outperform those given by Hachemeister, and have led to a remarkable improvement in accuracy of the credibility estimators so constructed.
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页码：323 / 343
页数：21
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