Multidimensional Credibility applied to estimating the frequency of big claims Abstract

First, the concept of multidimensional credibility is introduced and the corresponding credibility-estimators are derived. Then this methodology is applied to estimate the frequency of big claims. The multidimensional estimators are explicitly calculated and discussed. Next a simulation study is carried through and the behaviour of the multidimensional technique is studied and compared with the one-dimensional credibility estimators. Finally the theory is applied to a real data-set from practice.

Keywords: credibility, multidimensional, big claims, tariff making.