Multidimensional Credibility Estimators with Random Common Effects and Time Effects

作     者：ZHANG Qiang CUI Qianqian CHEN Ping 

作者机构：School of ScienceNanjing University of Science and TechnologyNanjing 210094China Department of Applied MathematicsNanjing University of Science and TechnologyNanjing 210094China 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2017年第30卷第5期

页      面：1107-1120页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by the National Natural Science Foundation of China under Grant No.11271189 the Scientific Research Innovation Project of Jiangsu Province under Grant No.KYZZ116_0175 

主　　题：Common effects credibility estimator multidimensional credibility time effects. 

摘      要：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 Buhlmann 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.