The Application Of GEE Methods In Structure Parameters Estimation Of Credibility Models

In this paper, the development history of credibility theory was described in brief. And then it intruduced the expression and moment estimation of structure parameters and application examples of some basic credibility models in summary.However, in order to obtain the estimate of credibility premium in insurance practise, the estimation of the structure parameters have to been discussed.At present, for the estimation of structure parameters in credibility models, there have been moment-method, MLE-method, REML-method and so on. Here, the paper studied the application of methods of generalized estimating equations (GEEs) in structure parameters estimation of credibility models. Firstly, the paper introduced some basic credibility models in the form of mixed linear models (Frees, et al. 1999). Secondly, The algorithms of Quasi-Least Squares (QLS) Method, Pseudolikelihood Method and GEE2 Method were studied in the paper. These methods were applied to the balanced Buhlmann model and Buhlmann-Straub model with independent error structure and the first-order moving average structure. Finally, the paper verified the validity of these generalized estimation equation methods by simulations.