Georgios Pitselis (Piraeus & Aegean Universities, Greece)

Title: A Review on Credibility Distribution Estimation with Applications to Insurance and Finance

In the insurance industry, some legislation rules indicate that some changes over time occurred across the claim distribution. Therefore, it is essential to examine these changes at different points of the distributions.

Here we provide a review on credibility distribution of forecasting  the distribution of individual risk in cases where the observations are weighted and show how distribution functions can be embedded within Buhlmann-Straub credibility model. The model extended to hierarchical credibility distribution, where the portfolio is divided into different subgroups with common features and subgroups into contracts with homogeneous risks.

We also present the semi-linear credibility distribution estimation that can help insurers to improve their risk management processes and it may provide a measurement of process uncertainty in claim estimation. In addition, numerical illustrations with insurance and financial data will be also presented.