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Credibility Theory for Generalized Linear and Mixed Models

Credibility Theory for Generalized Linear and Mixed Models This paper derives limited fluctuations credibility results for the Generalized Linear Model GLM and the extended case of generalized ...
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Description: This paper derives limited fluctuations credibility results for the Generalized Linear Model GLM and the extended case of generalized linear mixed model GLMM. It shows how credibility depends on the sample size, the distribution of covariates, and the link function. This provides a mechanism to obtain confidence intervals for the GLM and GLMM estimators.
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- Authors: José Garrido, JUN ZHOU
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Actuarial Profession>Academic partnerships; Modeling & Statistical Methods

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Credibility Theory for Generalized Linear and Mixed Models