Multidimensional credibility estimators with random common effects and time effects
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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.
KeywordsCommon effects credibility estimator multidimensional credibility time effects
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