Bühlmann & Bühlmann-Straub Credibility for Extreme Claims Applied on Non-Life Egyptian Insurance Market: An Actuarial Approach

Abstract: Credibility theory is an actuarial approach used to calculate the short term insurance premiums. The aim of this article is to calculate the credibility premium based on real data from non-life Egyptian insurance industry during 10 years period (2006 to 2015), taking into consideration the amount of incurred claims from six insurance branches and the number of extreme losses in each branch. The analysis was based on the assumptions of Bühlmann and Bühlmann-Straub credibility models in order to estimate the net credible premium for the upcoming year as a linear function of the prior claims and the number of extreme events.

Key words: credibility theory; credibility premium; Bühlmann and Bühlmann-Straub credibility; R package