This paper aims at providing linear credibility predictors for the pure premium of insurance contracts, from a rating structure based on their individual characteristics. A two equation model with random effects and regression components is consistently estimated, jointly with the computation of linear credibility predictors. Empirical research are given, which are drawn from a French data base of automobile insurance contracts.
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Paper provided by Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. in its series Papers with number
99-35.
Length: 21 pages Date of creation: 1999 Date of revision: Handle: RePEc:fth:pnegmi:99-35
Contact details of provider: Postal: THEMA, Universite de Paris X-Nanterre, U.F.R. de science economiques, gestion, mathematiques et informatique, 200, avenue de la Republique 92001 Nanterre CEDEX.
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