Class "hierCredibility" of fitted hierarchical credibility models

Class "hierCredibility" of fitted hierarchical credibility models

# S3 method for class 'hierCredibility'
print(x, ...)

# S3 method for class 'hierCredibility'
summary(object, ...)

# S3 method for class 'hierCredibility'
fitted(object, ...)

Arguments

x

an object of class hierCredibility

...

currently ignored.

object

an object of class hierCredibility

Value

The function hierCredibility returns an object of class hierCredibility, which has the following slots:

call

the matched call

type

Whether additive or multiplicative hierarchical credibility model is used.

Variances

The estimated variance components. s2 is the estimated variance of the individual contracts, tausq the estimate of \(Var(V[j])\) and nusq is the estimate of \(Var(V[jk])\).

Means

The estimated averages at the portfolio level (intercept term \(\mu\)), at the first hierarchical level (\(bar(Y)[\%.\% j \%.\% \%.\%]^z\)) and at the second hierarchical level (\(bar(Y)[\%.\% jk \%.\%]\)).

Weights

The weights at the first hierarchical level \(z[j\%.\%]\) and at the second hierarchical level \(w[\%.\%jk\%.\%]\).

Credibility

The credibility weights at the first hierarchical level \(q[j\%.\%]\) and at the second hierarchical level \(z[jk]\).

Premiums

The overall expectation \(widehat(\mu)\), sector expectation \(widehat(V)[j]\) and group expectation \(widehat(V)[jk]\).

Relativity

The estimated random effects \(widehat(U)[j]\) and \(widehat(U)[jk]\) of the sector and group, respectively.

RawResults

Objects of type data.table with all intermediate results.

fitted.values

the fitted mean values, resulting from the model fit.

S3 methods

print:

Prints the call, the estimated variance parameters and the unique number of categories of the hierarchical MLF. The ... argument is currently ignored. Returns an invisible copy of the original object.

summary:

In addition to the output of the print.hierCredibility function, the summary function prints the random effect estimates as well. Returns an invisible copy of the original object.

fitted:

Returns the fitted values.

See also

hierCredibility