Multi-Level Model

Abstract

Is an original paper, which contains a hierarchical model with three levels, for determining the linearized non-homogeneous and homogeneous credibility premiums at company level, at sector level and at contract level, founded on the relevant covariance relations between the risk premium, the observations and the weighted averages. We give a rather explicit description of the input data for the multi- level hierarchical model used, only to show that in practical situations, there will always be enough data to apply credibility theory to a real insurance portfolio.

Keywords

• hierarchical structure with three levels
• observable variables with associated weights
• the credibility results