For a particular policyholder, the past aggregate loss experi- ence is given by X1, . . .
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Question:
For a particular policyholder, the past aggregate loss experi- ence is given by X1, . . . , Xn, where the Xis are independent and identically distributed compound random variables with Poisson parameter , and a gamma distribution with shape parameter and scale parameter . Also: (i) The credibility factor, based on credibility applied to the number of claims under a classical credibility approach, is 0.9. (ii) The expected size of an individual claim is 100. (iii) The credibility factor, based on credibility applied to aggregate losses under a classical credibility approach, is 0.8. (iv) The same probability level is used for all calculations. (v) The same range parameter is used for all calculations. Determine and .
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