DSAS - MSc Public Lecture - Jingbing Qiu

Title:

Split credibility: A two-dimensional semi-linear credibility model

Abstract:

In the thesis, we introduce a two-dimensional semi-linear credibility model, which is an extension of the classical credibility or split credibility models used by practicing actuaries. Our model predicts the future expected losses of a policyholder by considering its historical primary and excess losses. The optimal split point is derived based on the mean squared error criterion. We show when and why splitting a policyholder’s historical losses into primary and excess parts work analytically. In addition, we derived formulas for estimating our model parameters nonparametrically. Finally, we show the application of our model through two examples.

Supervisor: Professor Jiandong Ren