On Parameter Estimation in Hierarchical Credibility

One can find in the literature three main sets of estimators for the variance components in the hierarchial credibility model. This paper presents these estimators in a unified notation, studies some of their properties important for numerical evaluation, and compares their relative performance by simulation. This paper also demonstrates how function cm of the R package actuar can be used to fit hierarchial models to insurance data.

Keywords: Heirarchial, credibility, variance components, R, actuar