Abstract
In this paper, multidimensional credibility model with a type of dependence structures over risks and over time is considered. By means of the projection method, the inhomogeneous and homogeneous Bühlmann credibility estimators are obtained, which are extended to slightly more general versions. The inhomogeneous estimator can be expressed as the weighted sum of individual mean, overall sample mean and collective mean. In addition, the estimations of structural parameters are also investigated.
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This research was supported by the National Natural Science Foundation of China under Grant No. 11271189 and the Scientific Research Innovation Project of Jiangsu Province under Grant No. KYZZ116 0175.
This paper was recommended for publication by Editor WANG Shouyang.
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Zhang, Q., Cui, Q. & Chen, P. Multidimensional credibility estimators with random common effects and time effects. J Syst Sci Complex 30, 1107–1120 (2017). https://doi.org/10.1007/s11424-017-5268-8
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DOI: https://doi.org/10.1007/s11424-017-5268-8