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AuthorSchinzinger, Edodc.contributor.author
Date of accession2016-03-15T10:40:23Zdc.date.accessioned
Available in OPARU since2016-03-15T10:40:23Zdc.date.available
Year of creation2015dc.date.created
AbstractGeneralized linear models (GLM) have multiple applications, in particular they are a popular tool in insurance for fitting claims data. Insurance portfolios typically consist of heterogeneous clusters with similar but different risk characteristics. Problems arise when only limited statistical information is available for individual clusters. Credibility theory is a commonly used actuarial tool to improve statistical inference for small clusters, however credibility estimators have only been developed for a few specific models and a general theory remains lacking. In the present thesis we fill that gap, presenting a credibility estimator in a general GLM setting allowing all simple exponential families with natural link functions and cluster specific volume parameters. We study asymptotic properties of the estimator and illustrate our new concept with both a simulation study and an application to mortality data. In the second part of the thesis we deal with an application of evolutionary credibility models to mortality data. Such a model correctly recognizes the random nature of the underlying time factor and further allows for the flexibility of time series modeling. The final model incorporates a smoothing procedure over time that ensures robustness over successive forecasts.dc.description.abstract
Languageendc.language.iso
PublisherUniversität Ulmdc.publisher
LicenseStandarddc.rights
Link to license texthttps://oparu.uni-ulm.de/xmlui/license_v3dc.rights.uri
KeywordEvolutionary modeldc.subject
KeywordGeneralized linear modelsdc.subject
KeywordMulti-population mortality modelingdc.subject
Dewey Decimal GroupDDC 330 / Economicsdc.subject.ddc
LCSHAsymptotic theorydc.subject.lcsh
LCSHCredibility theory (Insurance)dc.subject.lcsh
TitleCredibility estimation in insurance data: generalized linear models and evolutionary modelingdc.title
Resource typeDissertationdc.type
DOIhttp://dx.doi.org/10.18725/OPARU-3279dc.identifier.doi
PPN831973250dc.identifier.ppn
URNhttp://nbn-resolving.de/urn:nbn:de:bsz:289-vts-96403dc.identifier.urn
GNDAsymptotikdc.subject.gnd
GNDKreditwürdigkeitdc.subject.gnd
GNDVerallgemeinertes lineares Modelldc.subject.gnd
FacultyFakultät für Mathematik und Wirtschaftswissenschaftenuulm.affiliationGeneral
Date of activation2015-07-21T09:56:59Zuulm.freischaltungVTS
Peer reviewneinuulm.peerReview
Shelfmark print versionW: W-H 14.265uulm.shelfmark
DCMI TypeTextuulm.typeDCMI
VTS-ID9640uulm.vtsID
CategoryPublikationenuulm.category


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