Physical Sciences and Mathematics Commons^™

Split Credibility: A Two-Dimensional Semi-Linear Credibility Model, Jingbing Qiu

Electronic Thesis and Dissertation Repository

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 three examples.