A.05.Couret & Venter

  1. Couret & Venter hazard group method
    • want to assign different credibility by loss type within a class within a hazard group
    • within a class, relative freq of injury type is correlated
  2. Couret & Venter
    • μ(θ)=E(Xj|Θ =θ) = ZX* + (1-Z)μ
    • v(θ) = Var(Xj|Θ =θ)
    • μ(θ) = aj + sum(ajxj); a0 = (1-z)μ, ai = zn
    • z=n / (n+k), k = v/a
    • optimal z = VHM / (EVPV/n + VHM) = n / (n + EVPV/VHM)
  3. Testing Couret & Venter's model
    • first glance: disappointing compared to just using HG prediction
    • reason 1: influenced by data too much to match held back data
    • reason 2: class data by year is very volatile. some covariances where not accounted for
    • quintiles test: apply model to all classes, sort and split into 5 class grp of roughly equal size. There was a correlation btwn odd & even years suggesting that the model adds info
    • exception: hazard group A is already very homogeneous so the credibility procedure does not provide any add'l info
Card Set
A.05.Couret & Venter
Using multi-dimensional credibility to estimate class frequency vectors in workers compensation