Accession Number : AD0762178

Title :   Multi-Dimensional Credibility.

Descriptive Note : Research rept.,

Corporate Author : CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER

Personal Author(s) : Jewell,William S.

Report Date : APR 1973

Pagination or Media Count : 43

Abstract : Credibility theory is concerned with the problem of forecasting the mean performance (claim frequency, total losses, etc.) of an individual risk, selected from a collective of heterogeneous risks, based upon the statistics of the collective, and upon the experience data of the individual risk. The paper extends credibility theory to the use of multi-dimensional data which is often available in real applications. A vector of experience data is assumed to be available from the individual risk, and it is desired to forecast the mean of one of the components, using the known internal covariance between components. The resulting formulae provide a series of generalized credibility factors, (z sub i), for each component i of observables. (Modified author abstract)

Descriptors :   (*ECONOMICS, PROBABILITY), STATISTICAL ANALYSIS, MATHEMATICAL PREDICTION, MATHEMATICAL MODELS

Subject Categories : Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE