The Regression Credibility Models with Random Common Effects

In classical regression credibility models suggested by Hachemeister (1975), the risks are assumed to be mutually independent. In this paper, we introduce a dependence between risks induced by common effects and developed a credibility regression model with dependence and the credibility predictors of future claims and the estimators of risk parameters are derived under this model. The results show that the credibility estimators remain the weighted sums of individual and collective premium.