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The Sample Size Needed for the Calculation of a GLM Tariff

Published online by Cambridge University Press:  17 April 2015

Hans Schmitter
Hans Schmitter*
Affiliation:
Swiss Reinsurance Company, Mythenquai 50/60 – CH-8022 Zurich, Tel. +41 1 285 4970, Telefax +41 1 282 4970. E-mail: Hans_Schmitter@swissre.com
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Abstract

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A simple upper bound for the variance of the frequency estimates in a multivariate tariff using class criteria is deduced. This upper bound is based exclusively on univariate statistics and can, therefore, be calculated before a GLM analysis is carried out. It can be used to estimate the number of claims that will be needed for a tariff calculation depending on the number of tariff criteria and the number of levels of each criterion.

The article is a revised version of a paper presented at the XXXIst ASTIN Colloquium in Porto Cervo.

Keywords

Poissonfrequencymultiplicative tariffgeneralised linear modelsample size

Information

Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 34 , Issue 1 , May 2004 , pp. 249 - 262
Copyright
Copyright © ASTIN Bulletin 2004

References

Feller, W. (1971) An Introduction to Probability Theory and Its Applications, volume 2, 2nd edition. Wiley.Google Scholar
SAS Technical Report P-243, SAS/STAT Software: The GENMOD Procedure, Release 6.09, Cary,NC: SAS Institute Inc., 1993, 88 pp.Google Scholar