Multivariate Latent Risk: A Credibility Approach

We investigate a concept of multivariate pricing, which includes claim history for more than one line of business and is a generalization of the Bühlmann-Straub model. The multivariate credibility model is extended to allow for the age of claims to influence the estimation of future claims. The model is applied to data from a portfolio of commercial lines of business.

Keywords: Bonus-Malus System, Multivariate Credibility, Time-dependent Random Effects