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Time-varying credibility for frequency risk models : Estimation and tests for autoregressive specifications on the random effects

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  • C. Bolancé
  • M. Guillén
  • J. Pinquet

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Bibliographic Info

Paper provided by THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise in its series THEMA Working Papers with number 2002-18.

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Date of creation: 2002
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Handle: RePEc:ema:worpap:2002-18

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References

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  1. Sundt, Bjorn, 1988. "Credibility estimators with geometric weights," Insurance: Mathematics and Economics, Elsevier, vol. 7(2), pages 113-122, April.
  2. Frees, Edward W. & Young, Virginia R. & Luo, Yu, 1999. "A longitudinal data analysis interpretation of credibility models," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 229-247, May.
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Citations

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Cited by:
  1. Jean Pinquet & Guillén Montserrat & Catalina Bolancé, 2007. "On the link between credibility and frequency premium," Working Papers, HAL hal-00243063, HAL.
  2. Jean Pinquet, 2012. "Experience rating in non-life insurance," Working Papers, HAL hal-00677100, HAL.
  3. Dionne, Georges & Michaud, Pierre-Carl & Pinquet, Jean, 2013. "A review of recent theoretical and empirical analyses of asymmetric information in road safety and automobile insurance," Research in Transportation Economics, Elsevier, Elsevier, vol. 43(1), pages 85-97.
  4. Lo, Chi Ho & Fung, Wing Kam & Zhu, Zhong Yi, 2006. "Generalized estimating equations for variance and covariance parameters in regression credibility models," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 99-113, August.
  5. Katrien Antonio & Emiliano Valdez, 2012. "Statistical concepts of a priori and a posteriori risk classification in insurance," AStA Advances in Statistical Analysis, Springer, Springer, vol. 96(2), pages 187-224, June.
  6. Ramon Alemany & Catalina Bolance & Montserrat Guillen, 2014. "Accounting for severity of risk when pricing insurance products," Working Papers, Universitat de Barcelona, UB Riskcenter 2014-05, Universitat de Barcelona, UB Riskcenter.
  7. Lluis Bermúdez i Morata, 2008. "A priori ratemaking using bivariate poisson regression models," Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) XREAP2008-09, Xarxa de Referència en Economia Aplicada (XREAP), revised Jul 2008.
  8. Zhao, Xiaobing & Zhou, Xian, 2012. "Copula models for insurance claim numbers with excess zeros and time-dependence," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 191-199.
  9. Shi, Peng & Valdez, Emiliano A., 2011. "A copula approach to test asymmetric information with applications to predictive modeling," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 226-239, September.
  10. Wen, Limin & Wu, Xianyi & Zhou, Xian, 2009. "The credibility premiums for models with dependence induced by common effects," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 19-25, February.
  11. Bermúdez, Lluís & Karlis, Dimitris, 2011. "Bayesian multivariate Poisson models for insurance ratemaking," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 226-236, March.

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