q-Credibility

Variance, Vol. 13, N°2, p. 250–264, 2021

26 Pages Posted: 27 Feb 2015 Last revised: 29 Sep 2021

See all articles by Olivier Le Courtois

Olivier Le Courtois

EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control

Abstract

This article extends credibility theory by making quadratic adjustments that take into account the squared values of past observations. This approach amounts to introducing non-linearities in the framework, or to considering higher order moments in the computations. We first describe a full parametric approach and, for illustration, we examine the Poisson-gamma and Poisson-single Pareto cases. Then, we look at the non-parametric approach where premiums must be estimated based on data only, without postulating any type of distribution. Finally, we examine a semi-parametric approach where the conditional distribution is Poisson but the unconditional distribution is unknown.

Keywords: Credibility, Quadratic Approximation. Parametric, Non-Parametric, Semi-Parametric, Poisson-Gamma, Poisson-Single Pareto, Uniform Exposure

JEL Classification: C11, G22

Suggested Citation

Le Courtois, Olivier Arnaud, q-Credibility. Variance, Vol. 13, N°2, p. 250–264, 2021, Available at SSRN: https://ssrn.com/abstract=2571195 or http://dx.doi.org/10.2139/ssrn.2571195

Olivier Arnaud Le Courtois (Contact Author)

EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control ( email )

23, av. Guy de Collongue
69134 Ecully Cedex
France

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