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Heterogeneous INAR(1) model with application to car insurance

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  • Gourieroux, C.
  • Jasiak, J.

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Bibliographic Info

Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 34 (2004)
Issue (Month): 2 (April)
Pages: 177-192

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Handle: RePEc:eee:insuma:v:34:y:2004:i:2:p:177-192

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Web page: http://www.elsevier.com/locate/inca/505554

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  1. Dionne, G. & Gourieroux, C. & Vanasse, C., 1998. "Evidence of Adverse Selection in Automobile Insurance Markets," Ecole des Hautes Etudes Commerciales de Montreal- 98-09, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
  2. J. Pinquet, 1997. "Experience rating through heterogeneous models," THEMA Working Papers 97-25, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  3. Cameron, A Colin & Trivedi, Pravin K, 1986. "Econometric Models Based on Count Data: Comparisons and Applications of Some Estimators and Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 1(1), pages 29-53, January.
  4. Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange) 8203, CEPREMAP.
  5. Sundt, Bjorn, 1988. "Credibility estimators with geometric weights," Insurance: Mathematics and Economics, Elsevier, vol. 7(2), pages 113-122, April.
  6. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
  7. Puelz, Robert & Snow, Arthur, 1994. "Evidence on Adverse Selection: Equilibrium Signaling and Cross-Subsidization in the Insurance Market," Journal of Political Economy, University of Chicago Press, vol. 102(2), pages 236-57, April.
  8. Dionne, G. & Vanasse, C., 1988. "A Generalization of Automobile Insurance Rating Models: the Negative Binomial Distribution with a Regression Component," Cahiers de recherche 8833, Universite de Montreal, Departement de sciences economiques.
  9. Gourieroux, C. & Visser, M., 1997. "A count data model with unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 79(2), pages 247-268, August.
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Cited by:
  1. Gagliardini, Patrick & Gouriéroux, Christian, 2013. "Correlated risks vs contagion in stochastic transition models," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2241-2269.
  2. Francesco Bravo, 2011. "Comment on: Subsampling weakly dependent time series and application to extremes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 20(3), pages 483-486, November.
  3. Drost, F.C. & Akker, R. van den & Werker, B.J.M., 2006. "Local Asymptotic Normality and Efficient Estimation for inar (P) Models," Discussion Paper 2006-45, Tilburg University, Center for Economic Research.
  4. Drost, F.C. & Akker, R. van den & Werker, B.J.M., 2009. "The asymptotic structure of nearly unstable non negative integer-valued AR(1) models," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3106433, Tilburg University.
  5. Drost, F.C. & Akker, R. van den & Werker, B.J.M., 2007. "Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models (Subsequently replaced by DP 2008-53)," Discussion Paper 2007-23, Tilburg University, Center for Economic Research.

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