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On Parameter Estimation in Hierarchical Credibility
Published online by Cambridge University Press: 09 August 2013
Abstract
One can find in the literature three main sets of estimators for the variance components in the hierarchical credibility model. This paper presents these estimators in a unified notation, studies some of their properties important for numerical evaluation and compares their relative performance by simulation. The paper also demonstrates how function cm of the R package actuar can be used to fit hierarchical models to insurance data.
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- Research Article
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- Copyright © International Actuarial Association 2009
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