Abstract
This paper extends the credibility weighted intensity estimation ideas of Hardy and Panjer (1998) and Nielsen and Sandqvist (2000) to the proportional intensity case, where the level of each intensity is estimated from data and used to construct the credibility weighted estimator in areas of data sparsity.
Volume
Berlin
Year
2003
Categories
Financial and Statistical Methods
Credibility
Financial and Statistical Methods
Statistical Models and Methods
Publications
ASTIN Colloquium
