Imprecise credibility theory

Abstract The classical credibility theory is a cornerstone of experience rating, especially in the field property and casualty insurance. An obstacle to putting into practice conversion available prior information precise choice crucial hyperparameters. In most real-world applications, necessary justify lacking, so we propose an imprecise estimator that honestly acknowledges imprecision hyperparameter specification. This results interval doubly robust sense it retains estimator’s freedom from model specification fast asymptotic concentration, while simultaneously being insensitive