hierCredGLM {actuaRE} | R Documentation |
Combining the hierarchical credibility model with a GLM (Ohlsson, 2008)
Description
Fit a random effects model using Ohlsson's methodology. In this function you explicitly specify the power parameter p.
See hierCredTweedie
when you also want to estimate the p.
Usage
hierCredGLM(
formula,
data,
weights,
p = 1.5,
link.power = 0,
muHatGLM = TRUE,
epsilon = 1e-04,
maxiter = 500,
maxiterGLM = 500,
verbose = FALSE,
returnData = TRUE,
balanceProperty = TRUE,
y = TRUE,
...
)
Arguments
formula |
object of type |
data |
an object that is coercible by |
weights |
variable name of the exposure weight. |
p |
the value for the power parameter of the Tweedie distribution, which is passed to |
link.power |
index of power link function, which is passed to |
muHatGLM |
indicates which estimate has to be used in the algorithm for the intercept term. Default is |
epsilon |
positive convergence tolerance |
maxiter |
maximum number of iterations. |
maxiterGLM |
maximum number of iterations when fitting the GLM part. Passed to |
verbose |
logical indicating if output should be produced during the algorithm. |
returnData |
logical indicating if input data has to be returned. |
balanceProperty |
logical indicating if the balance property should be satisfied. |
y |
logical indicating whether the response vector should be returned as a component of the returned value. |
... |
arguments passed to |
Value
An object of type hierCredGLM
with the following slots:
call |
the matched call |
HierarchicalResults |
results of the hierarchical credibility model. |
fitGLM |
the results from fitting the GLM part. |
iter |
total number of iterations. |
Converged |
logical indicating whether the algorithm converged. |
LevelsCov |
object that summarizes the unique levels of each of the contract-specific covariates. |
fitted.values |
the fitted mean values, resulting from the model fit. |
prior.weights |
the weights (exposure) initially supplied. |
y |
if requested, the response vector. Default is |
References
Campo, B.D.C. and Antonio, Katrien (2023). Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio. Scandinavian Actuarial Journal, doi: 10.1080/03461238.2022.2161413
Ohlsson, E. (2008). Combining generalized linear models and credibility models in practice. Scandinavian Actuarial Journal 2008(4), 301–314.
See Also
hierCredGLM-class
, fitted.hierCredGLM
, predict.hierCredGLM
, ranef-actuaRE
,
weights-actuaRE
, hierCredibility
, hierCredTweedie
, plotRE
,
adjustIntercept
, BalanceProperty
Examples
data("dataCar")
fit = hierCredGLM(Y ~ area + (1 | VehicleType / VehicleBody), dataCar, weights = w,
p = 1.7)
fit
summary(fit)
ranef(fit)
fixef(fit)