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Actuarial Statistics
Lecture 3:
- Credibility theory
- EBCT
Instructor:
Wenjun Zhu, PhD, FSA, CERA
Assistant Professor
Email: wjzhu@ntu.edu.sg
Office: S3-B1B-71
Tel: (65)6592-1859
Actuarial Statistics
1. Explain what is meant by the credibility premium formula and
describe the role played by the credibility factor.
2. Explain the Bayesian approach to credibility theory and use it to
derive credibility premiums in simple cases.
3. Explain the empirical Bayes approach to credibility theory, in
particular its similarities with and its differences from the
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Bayesian approach.
Wenjun Zhu
4. Introduce two special models in empirical Bayes credibility Theory
(EBCT).
5. Calculate credibility premiums for the two EBCT models.
BA3202
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Background: Some basics
Actuarial Statistics
• 𝐸 𝑋 =𝐸 𝐸 𝑋𝑌
• The Law of Iterated Expectation
• The Law of Total Expectation
• The tower rule
• 𝐸 𝑓 𝑌 𝑌 = 𝑓(𝑌)
• 𝐸 𝑋𝑓 𝑌 = 𝐸 𝐸 𝑋𝑓 𝑌 𝑌 =𝐸 𝑓 𝑌 𝐸 𝑋𝑌
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• Independence: 𝐸 𝑋! 𝑋" = 𝐸 𝑋! 𝐸 𝑋"
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• Conditional independent: 𝐸 𝑋! 𝑋" 𝑌 = 𝐸 𝑋! 𝑌 𝐸 𝑋" 𝑌
• E.g., 𝑋! |𝑌 has a 𝑃𝑜𝑖𝑠𝑠𝑜𝑛(𝑌), and 𝑋" |𝑌 has a 𝑃𝑜𝑖𝑠𝑠𝑜𝑛 2𝑌 .
• Conditional on Y=2, 𝑋!|𝑌 and 𝑋"|𝑌 can be independent.
• However, 𝑋! and 𝑋" are not independent. They both Depend on Y’s
distribution.
• Suppose Y has a 𝑁 1,1 , then 𝐸 𝑋! 𝑋" = 4 ≠ 𝐸 𝑋! 𝐸 𝑋" = 2. 3
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Credibility Theory
Actuarial Statistics
• Insurers use past data from the risk itself and collateral data to estimate the
expected claims in the coming year from a risk.
• New type of coverage
• Unusual risk
• Experience Rating
• Notations:
$ An estimate of the expected aggregate claims or number of claims based solely
• 𝑋:
on data from the risk itself.
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• 𝜇: An estimate of the expected aggregate claims or number of claims based solely
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on collateral data.
• Example: Firm A wants to buy coverage for a fleet of 10 buses.
• Average claim of the corresponding 10 buses per year is 1,600 for the past 5 years.
(𝑋$ = 1600)
• The average claim of a fleet of busses in the entire city is 2,500 (𝜇 = 2500).
• Question: What is the best estimate of the expected claims for the coming year?
4
. + 𝟏 − 𝒁 𝝁,
𝒁∗𝑿
?
1600 𝟎≤𝒁≤𝟏 2500 ?
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Credibility Theory
Actuarial Statistics
• Proposed Approach: Weighted average of 𝑋! and 𝜇
𝑍 ⋅ 𝑋! + 1 − 𝑍 ⋅ 𝜇, 0 ≤ 𝑍 ≤ 1
• How much weight should an insurer put on the average claim derived
from the collateral data (𝜇)?
!
• Equivalently, how credible is the data from the risk itself (𝑋)?
• 𝑍: the credibility factor; reflects how much “trust” is placed in the
! compared with the data from the larger
data from the risk itself (𝑋)
group (𝜇)
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• Case 1: suppose we believe 𝑍 is 0.6 to start with
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0.6 (1600) +0.4 (2500) = 1960
• Case 2: the data from the risk itself is based on 10 years rather than
5 years à 𝑍 should be higher than 0.6 à maybe raised to 0.75
0.75 (1600) + 0.25 (2500) = 1825
• Case 3: the collateral data is based on Firm B which is in a different
industry rather than the entire city à 𝑍 is higher again, raised to 0.8
0.8 (1600) + 0.2 (2500) = 1780 5
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Credibility Theory
Actuarial Statistics
• Case 4: the data from the risk itself
is based on 2 years rather than 5
years Quantity of
Historical risk data
à 𝑍 should be lower than 0.6
Higher 𝑍
à maybe decreased to 0.3
(case 2&3)
0.3 (1600) + 0.7 (2500) = 2230 Quality of
Collateral data
• Case 5: the collateral data is based
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Wenjun Zhu
on Firm B which is very similar to
Firm A for 10 years rather than the Lower 𝑍
entire city (case 4&5)
à 1 − 𝑍 should be higher than 0.4
à maybe 0.5
0.5 (1600) + 0.5 (2500) = 2050
6
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Bayesian credibility
Actuarial Statistics
• Recall the Bayesian statistics in L1:
• Posterior pdf of 𝜃: 𝑓 𝜃 𝑋 ∝ 𝑓 𝑋 𝜃 𝑓 𝜃
• 𝑓 𝑋 𝜃 = ∏%#$! 𝑓(𝑋# |𝜃): the likelihood of the sample where
𝑓 𝑋 𝜃 is the conditional pdf of 𝑋
• 𝑓 𝜃 is the prior distribution of 𝜃
• Then given certain loss function, obtain Bayes estimator:
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Wenjun Zhu
Sample 1 Sample 2 Sample 3
Prior/initial Time
estimate Posterior Posterior Posterior
estimate 1 estimate 2 estimate 3
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Poisson-Gamma model
Actuarial Statistics
• We need to estimate the number of claims in the coming year:
• Let 𝑋 be the number of claims in the coming year
$ !" %#
• 𝑋|𝜆~𝑃𝑜𝑖 𝜆 ; pdf 𝑓 𝑥 𝜆 = , 𝑥 = 0,1,2 …
&!
• Value of 𝜆 is unknown, but we have a rough idea that it might range from 50
to 150.
• The prior distribution for 𝜆: 𝜆~Γ 𝛼, 𝛽 :
!!
• pdf 𝑓 𝜆 = 𝜆#$% 𝑒 $!& , 𝛽 > 0
" #
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• 𝐸 𝜆 = 𝛼/𝛽, 𝑉𝑎𝑟 𝜆 = 𝛼/𝛽 '
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• Data from this risk are available for the past 𝑛 years.
• we have a sample of 𝑛 observations from the random variable 𝑋 and we
denote this sample by 𝑥
• The posterior estimate for 𝜆:
*
𝑒 +% 𝜆&$ 𝛽, ,+! +-% 𝛽,
𝑓 𝜆𝑥 ∝5 ⋅ 𝜆 𝑒 = 𝜆∑&$ /,+! 𝑒 + -/* %
𝑥( ! Γ 𝛼 Γ 𝛼 ∏𝑥( !
()!
• This has the same form as the pdf of Γ 𝛼 + ∑*()! 𝑥( , 𝛽 + 𝑛 8
,/∑'
$%& &$ ∑'
$%& &$ , *
• 𝐸 𝜆𝑥 = =𝑍⋅ + 1−𝑍 , where 𝑍 =
-/* * - -/* BA3202
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Poisson-Gamma model
Actuarial Statistics
∑3
012 50 6
• 𝐸 𝜆 𝑥 =𝑍⋅ + 1−𝑍 = 𝑍 ⋅ 𝑋3 + 1 − 𝑍 𝜇
% 7
%
• 𝑍= à credibility factor
78%
• As the sample size 𝑛 increases, the weight on sample mean increases
(Note that 𝑍 → 1, as 𝑛 → ∞.)
• If no sample data is available (𝑛 = 0), then the best estimate would be
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the mean of the prior distribution.
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• If only sample data is available then the best estimate would be the
sample mean.
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Poisson-Gamma model
• Numerical example:
Actuarial Statistics
• Random variable 𝑋: the number of claims in the coming year from a risk
• 𝑋|𝜆~𝑃𝑜𝑖 𝜆
• In practice the value of λ is unknown.
• The known prior distribution of λ: Γ 100,1 with 𝐸 𝜆 = 100, 𝑆𝑡𝑑 𝜆 = 10
#
• 𝑍=
$%#
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160
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1 144 0 0.00 100.00 150
2 144 1 0.50 122.00 140
3 174 2 0.67 129.33 130
4 148 3 0.75 140.50 120
5 151 4 0.80 142.00 110
6 156 5 0.83 143.50 100
7 168 6 0.86 145.29 1 2 3 4 5 6 7 8 9 10
8 147 7 0.88 148.13
9 140 8 0.89 148.00 Number of Claims Estimated No. claims 10
10 161 9 0.90 147.20
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Poisson-Gamma model
Actuarial Statistics
• Numerical example:
• Now instead of Γ(100,1), we have 𝜆~Γ 500,5 so 𝐸 𝜆 = 100,
𝑆𝑡𝑑 𝜆 = 4.47
180
Number Z under Z under Estimated Estimated
Year
of Claims Ga(100,1) Ga(500,5) Ga(100,1) Ga(500,5) 170
160
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1 144 0.00 0.00 100 100 150
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2 144 0.50 0.17 122 107 140
3 174 0.67 0.29 129 113 130
4 148 0.75 0.38 141 120 120
5 151 0.80 0.44 142 123
110
6 156 0.83 0.50 144 126
100
7 168 0.86 0.55 145 129 1 2 3 4 5 6 7 8 9 10
8 147 0.88 0.58 148 132
Number of Claims Estimated under Ga(100,1)
9 140 0.89 0.62 148 133 Estimated under Ga(500,5) 11
10 161 0.90 0.64 147 134
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Poisson-Gamma model
Actuarial Statistics
A Summary
• Credibility factor 𝑍 increases as sample size increases
• 𝑍 increases more slowly for the Γ(500, 5) prior than the
Γ(100, 1) prior
• The mean of the prior distribution for 𝜆, is the same for both
prior distributions, i.e. 100.
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Wenjun Zhu
• The Standard deviation of the prior distribution is lower for the
Γ(500, 5) prior i.e. 4.47, than for the Γ(100,1) prior, i.e. 10.
• In Bayesian credibility, the prior distribution represents the
“collateral data”
• Smaller StDev of the prior à more confidence is placed in the initial
estimate of the number of claims
12
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The Normal-Normal model
Actuarial Statistics
• We need to estimate the pure premium (the expected aggregate claims)
• Let 𝑋 be the aggregate claims in the coming year
• 𝑋|𝜃~𝑁 𝜃, 𝜎!" , 𝜎! is known, 𝜃 is the unknown parameter ;
! #$% "
( ,
• pdf 𝑓 𝑥 𝜃 = ) *+
𝑒 " &! , −∞ < 𝑥 < ∞
!
• The prior distribution of 𝜃: 𝜃~𝑁 𝜇, 𝜎"" , 𝜇 and 𝜎" are known values;
! %$' "
( ,
• pdf 𝑓 𝜃 = ) *+
𝑒 " &" , −∞ < 𝜃 < ∞
"
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• we have a sample of 𝑛 observations from the random variable 𝑋 and we denote this
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sample by 𝑥
• The posterior estimate for 𝜆:
-
& #$!. & .!0 -
! +- / ! + ! 6+78 "
• 𝑓 𝜃𝑥 ∝ ∏*()! 𝑒 & ⋅ 𝑒 - /- ∝ 𝑒𝑥𝑝 − ,
4& "5 4- "5 " 7
4
1)!" 23)"" 4 )" )"
! " ∑*
()! 4(
• where 𝜇* = )!" 23)""
, 𝜎* = ) " 23) " , and 𝑥 = 3
.
! "
Actuarial Statistics
• We want to model the probability of an event.
• Let 𝑋 be the number of events in 𝑁 trials
• 𝑋|𝑝 ∼ 𝐵𝑖𝑛(𝑁, 𝑝), 𝑝 is the unknown parameter:
9
• Pr 𝑋 = 𝑥|𝑝 = &
𝑝& 1 − 𝑝 9+&
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0
• 𝑓 𝑝 𝑥 ∝ Π-./ Pr 𝑋 = 𝑥- |𝑝 ⋅ 𝑓 𝑝
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* 𝑁( & 9$ +&$
Γ 𝛼 + 𝛽 ,+! -+!
= Π()! 𝑝 $ 1−𝑝 ⋅ 𝑝 1−𝑝
𝑥( Γ 𝛼 Γ(𝛽)
∝ 𝑝12∑4( 5/ 1 − 𝑝 62(∑8( 5∑4( )5/
( ( 12∑4 ∑8 126 1
• Hence, 𝐸 𝑝|𝑥 = = 𝑥̅ + = 𝑍𝑥̅ +
1262∑8( 1262∑8( 1262∑8( 126
1−𝑍 𝜇
∑9$ ∑&$ ,
• 𝑍= ; 𝑥̅ = 𝜇= 14
,/-/∑9$ ∑9$ ,/-
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Additional Remarks of Z
• Poisson-Gamma:
𝑛
Actuarial Statistics
𝑍=
𝛽+𝑛
• 𝐸 𝜆 = 𝛼/𝛽, 𝑉𝑎𝑟 𝜆 = 𝛼/𝛽"
• Normal-Normal:
𝑛𝜎"" 𝑛
𝑍= " " =
𝜎! + 𝑛𝜎" 𝜎!"
𝑛+ "
𝜎"
• 𝐸 𝜎#" = 𝜎#" , 𝑉𝑎𝑟(𝜃) = 𝜎""
• Binomial-Gamma:
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∑' # !
(
𝑍=(%$%∑' = C = ∑𝑁) )
(𝑁
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)*+ #
( #% ,
-
$ $& $($%#)
• 𝐸 𝑝 = $%&, 𝑉𝑎𝑟 𝑝 = $%& ! ($%&%#)
, 𝐸 𝑝" = ($%&)($%&%#)
• What is your observation?
#
• For Poisson-Gamma & Normal-Normal: 𝑍 = . /01(3|5)
/01(.(3|5))
%#
• 𝐸 𝑉𝑎𝑟(𝑋|𝜃) called expected value of process variance (EPV)
• represents the within risk variation
• 𝑉𝑎𝑟(𝐸(𝑋|𝜃)) called the variance of hypothetical means (VHM) 15
• represents the heterogeneity of the risk portfolio
#
• For Binomial-Gamma: 𝑍 = . /01(3|5)
, (n=1) BA3202
,
/01(.(3|5))
%# L4
Concluding remarks
Actuarial Statistics
• Formula for the Poisson-Gamma, Normal-Normal, and Binomial-
Beta models can both be expressed as an average 𝑍𝑥 + 1 − 𝑍 𝜇,
weighted by credibility factor 𝑍
• The credibility factor 𝑍 is always bounded between 0 and 1, it
increases with 𝑛, and it also increases with the standard deviation of
the prior distribution
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• Potential draw backs: there are combinations of distributions for
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which the credibility formula cannot be derived as simply as above
• à Empirical credibility model
• Idea: use nonparametric empirical methods to estimate 𝜇 and
𝑍, 𝑖. 𝑒. , 𝐸 𝑉𝑎𝑟(𝑋|𝜃) & 𝑉𝑎𝑟(𝐸(𝑋|𝜃))
16
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Actuarial Statistics
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Empirical Bayes Credibility Theory
Wenjun Zhu
(EBCT) : Fomulae book
17
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EBCT: Introduction
Actuarial Statistics
• Risk parameter 𝜃:
• Characteristics of each insured risk in the insurer’s profile
• Consider a life insurance portfolio for example
• Smoker v.s. non-smoker; male v.s. female; safe driver v.s. dangerous
driver
• 𝑋Q : Loss R.V. The number of claims in year 𝑗
• 𝑋Q |𝜃: number of claims in year 𝑗 given parameter 𝜃
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• 𝑋9 |𝜃 are identically independent distributed (conditional i.i.d.)
• 𝑋9 ’s are not necessarily unconditionally independent
• Objective is to obtain risk premium, or pure premium, 𝐸 𝑋
• Express risk premium as a linear combination of past historical
average and overall average (recall 𝑍 ⋅ 𝑋1 + 1 − 𝑍 𝜇)
à credibility formula.
18
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EBCT M1: Specification
Actuarial Statistics
• Conditional mean and variance are functions of 𝜃:
• 𝐸 𝑋9 𝜃 = 𝑚 𝜃
EBCT Year ?
• 𝑉𝑎𝑟 𝑋9 𝜃 = 𝑠" 𝜃 Model
1 1 2 3 . . n n+1
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observations
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• 𝑋(I : observed claims: Class . . . . . . . .
• 𝑖: the risk class number . . . . . . . .
• 𝑗: the sample year number
N 𝑋'! 𝑋'" 𝑋'* . . 𝑋'# 𝑋',#%!
Estimate 𝑋),#%! 19
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EBCT M1: Credibility Premium
• A generalization of Normal-Normal model
Actuarial Statistics
• EBCT M1: 𝐸 𝑋, 𝜃 = 𝑚 𝜃 à Normal-Normal: 𝐸 𝑋, 𝜃 = 𝜃
• 𝑉𝑎𝑟 𝐸 𝑋I 𝜃 = 𝑉𝑎𝑟 𝜃 = 𝜎"" in Normal-Normal setting
• EBCT M1: 𝑉𝑎𝑟 𝑋, 𝜃 = 𝑠 " 𝜃 à Normal-Normal: 𝑉𝑎𝑟 𝑋, 𝜃 = 𝜎!"
• 𝐸 𝑉𝑎𝑟 𝑋I 𝜃 = 𝐸 𝜎!" = 𝜎!" in Normal-Normal setting
• There is no distributional assumption for EBCT M1, i.e., it’s a non-
parametric model.
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• The risk parameter 𝜃 has more general interpretation in EBCT M1.
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• The estimate of 𝑚(𝜃# ) given sample 𝑋# by EBCT M1 is
1 − 𝑍 ⋅ 𝐸 𝑚 𝜃# + 𝑍 ⋅ 𝑋# ,
heterogeneity of
0
where 𝑋- = ∑0:./ 𝑋-,: /𝑛 , 𝑍 = . the risk portfolio
. /01 𝑋: 𝜃
02
/01 . 𝑋: 𝜃
• 𝑍 is increasing function of variance of hypothetical means (VHM), Within risk 20
𝑉𝑎𝑟 𝐸 𝑋I 𝜃 variation
Actuarial Statistics
• The EBCT M1 estimator for 𝑋#,%8! : 𝟏 − 𝒁 𝑬 𝒎 𝜽 + 𝒁𝑿𝒊
8
/ 0/
• 𝑚S𝜃) = 𝑋) = ∑#,.! 𝑋), /𝑛; 𝑠S
" 𝜃 =
) ∑#,.! (7 (
#0!
∑( ∑7 /(7 ∑ ( /( 1 2 3 . . n
• 𝐸𝑚 𝜃 =𝑋= #⋅'
= ' 𝑋(( 𝑋(* 𝑋(6 . . 𝑋(3
8
3(7<3( 𝑋*( 𝑋** 𝑋*6 . . 𝑋*3
∑- ∑ ;
(9: 79:
• 𝐸 𝑠" 𝜃 = ;<:
𝑋6( 𝑋6* 𝑋66 . . 𝑋63
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'
. . . . . .
Wenjun Zhu
8
8 3(7<3(
∑- ∑- ;
(9: ∑79:
. . . . . .
(9: /( 0/ ;<:
• 𝑉𝑎𝑟 𝑚 𝜃 = '0!
− #⋅' 𝑋7( 𝑋7* 𝑋76 . . 𝑋73
• A few more remarks:
• 𝐸 𝑚 𝜃 , 𝐸 𝑠 " 𝜃 , and 𝑉𝑎𝑟 𝑚 𝜃 are all unbiased estimators,
• Add a correction term in order to make the estimator unbiased
• Proof is out of the scope of this course 21
• Estimator of 𝑉𝑎𝑟 𝑚 𝜃 can be negative. Set it to 0 when it’s negative.
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EBCT M2: Model Assumptions
Actuarial Statistics
• 𝑌9 : Aggregate claim amount in year 𝑗
• 𝑃9 : Volumes at risk in year 𝑗 (amount of business, e.g., premiums,
number of people in a group)
• 𝑋9 : Average claim per unit of exposure at risk in year 𝑗
• It is reasonable to have the following assumptions:
• 𝐸 Y: 𝜃 = 𝑃: 𝐸 𝑋: 𝜃 = 𝑃: 𝑚(𝜃)
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• 𝑉𝑎𝑟 𝑌: 𝜃 = 𝑃:< 𝑉𝑎𝑟 𝑋: 𝜃 = 𝑃: 𝑠 < (𝜃)
Wenjun Zhu
• Assumptions for EBCT M2:
• 𝐸 𝑋: 𝜃 = 𝑚 𝜃
=8 >
• 𝑉𝑎𝑟 𝑋: 𝜃 =
?7
• It indicates that pure premium grows linearly with the insured unit,
and the conditional variance of per unit loss is inversely proportional 22
to the insured unit.
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EBCT: Model 2
Actuarial Statistics
EBCT2 Year ?
Data
1 2 3 . . n n+1
1 𝑌!! (𝑃!! ) 𝑌!" (𝑃!" ) 𝑌!* (𝑃!* ) . . 𝑌!# (𝑃!# ) 𝑌!,#%!
2 𝑌"! (𝑃"! ) 𝑌"" (𝑃"* ) 𝑌"* (𝑃"* ) . . 𝑌"# (𝑃"# ) 𝑌",#%!
Risk 3 𝑌*! (𝑃*! ) 𝑌*" (𝑃*" ) 𝑌** (𝑃** ) . . 𝑌*# (𝑃*# ) 𝑌*,#%!
Class . . . . . . . .
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Wenjun Zhu
. . . . . . . .
N 𝑌'! (𝑃'! ) 𝑌'" (𝑃'" )𝑌'* (𝑃'* ) . . 𝑌'# (𝑃'# ) 𝑌',#%!
Actuarial Statistics
• The EBCT M2 estimator for 𝑋#,%8! is 𝟏 − 𝒁 𝑬 𝒎 𝜽 + 𝒁𝑿𝒊
;
∑7 /(7 2(7 ∑79: 3(7 ;
∑79: 3(7 ;
S W
• 𝑚 𝜃) = 𝑋) = ∑; 2 = ∑; 2 = 2
79: (7 79: (7 (
• 𝑃$ = ∑9 .
()! 𝑃(
wjzhu@ntu.edu.sg
1 2 3 . . n
Wenjun Zhu
𝑃(( 𝑃(* 𝑃(6 . . 𝑃(3
. . . . . .
. . . . . .
BA3202
L4
EBCT: Model 2
Actuarial Statistics
• The credibility factor 𝑍# is
∑%9$! 𝑃#9
𝑍# =
∑%9$! 𝑃#9 + 𝐸 𝑠 " 𝜃 /𝑉𝑎𝑟 𝑚 𝜃
8
; =(7 3(7<3(
∑-
(9: ∑79:
• 𝐸 𝑠" 𝜃 = ;<:
'
8
8
∑- ; =(7 3(7<3(
∑-
(9: 2(7 /(7 0/
∑
(9: 79:
wjzhu@ntu.edu.sg
;<:
• 𝑉𝑎𝑟 𝑚 𝜃 = −
2 ∗ ⋅ #⋅'0! ∗
2 ⋅'
Wenjun Zhu
∑8 K K K
$%& L$ (!+L$ /L)
• 𝑃∗ = *∗9+!
• A few more remarks:
• 𝐸 𝑚 𝜃 , 𝐸 𝑠 " 𝜃 , and 𝑉𝑎𝑟 𝑚 𝜃 are all unbiased estimators,
• Add a correction term in order to make the estimator unbiased
• Proof is out of the scope of this course
• Estimator of 𝑉𝑎𝑟 𝑚 𝜃 can be negative. Set it to 0 when it’s negative. 25
BA3202
L4
EBCT M1 Vs EBCTM2
• Formulas are given in Tables during the exam.
Actuarial Statistics
EBCT1 EBCT2
∑( ∑I 𝑋(I ∑9 *
()! ∑I)! 𝑌(I
𝐸𝑚 𝜃 = 𝑋$
𝑛⋅𝑁 ∑9 *
()! ∑I)! 𝑃(I
wjzhu@ntu.edu.sg
𝑛 ∑*I)! 𝑃(I
Wenjun Zhu
𝑍
𝑛 + 𝐸 𝑠 " 𝜃 /𝑉𝑎𝑟 𝑚 𝜃 ∑*I)! 𝑃(I + 𝐸 𝑠 " 𝜃 /𝑉𝑎𝑟 𝑚 𝜃
" "
𝑋(I − 𝑋( * 𝑃(I 𝑋(I − 𝑋(
𝐸 𝑠" 𝜃 ∑9 ∑ *
()! I)! ∑9 ∑
()! I)!
𝑛−1 𝑛−1
𝑁 𝑁
" "
∑9
()! 𝑋( − 𝑋
∑9
()! 𝑃(I 𝑋(I − 𝑋
𝑁−1 𝑃∗ 𝑛 ∗ 𝑁 − 1
𝑉𝑎𝑟 𝑚 𝜃 " " 26
* 𝑋(I − 𝑋( * 𝑃(I 𝑋(I − 𝑋(
∑9 ∑
()! I)! ∑9 ∑
− 𝑛−1 ()! I)! 𝑛−1
−
𝑛⋅𝑁 𝑃⋅𝑁 BA3202
L4
BA3202
L4