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On the link between credibility and frequency premium

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Author Info
Jean Pinquet (LEEP - Laboratoire d'econometrie de l'école polytechnique - CNRS : UMR7657 - Polytechnique - X)
Guillén Montserrat (LEEP - Laboratoire d'econometrie de l'école polytechnique - CNRS : UMR7657 - Polytechnique - X)
Catalina Bolancé (Universitat de Barcelona -)

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Abstract

Ce papier remet en question l'hypothèse d'équidistribution des effets aléatoires dans un modèle de risque fréquence. Deux modèles sont présentés, qui utilisent des liens paramétriques et non paramétriques entre la variance de l'effet aléatoire et le risque fréquence. Ils sont estimés sur un portefeuille de contrats espagnols d'assurance automobile, pour lesquels le lien précité est décroissant. Des conclusions en sont tirées pour la crédibilité et les coefficients bonus-malus.

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Paper provided by HAL in its series Working Papers with number hal-00243063_v1.

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Date of creation: 2007
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Handle: RePEc:hal:wpaper:hal-00243063_v1

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Related research
Keywords: Estimateurs à noyaux; Processus gamma;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Bolance, Catalina & Guillen, Montserrat & Pinquet, Jean, 2003. "Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 273-282, October. [Downloadable!] (restricted)
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  2. Qian, Weimin, 2000. "An application of nonparametric regression estimation in credibility theory," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 169-176, October. [Downloadable!] (restricted)
  3. Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, vol. 44(3), pages 461-65, May. [Downloadable!] (restricted)
  4. Hardle, W. & Hall, P. & Ichimura, H., 1991. "Optimal smoothing in single index models," CORE Discussion Papers 1991007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Dionne, G. & Vanasse, C., 1988. "A Generalization Of Automobile Insurance Rating Models: The Negative Binomial Distribution With A Regression Component," Cahiers de recherche 8833, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    Other versions:
  6. Natacha Brouhns & Montserrat Guillén & Michel Denuit & Jean Pinquet, 2003. "Bonus-Malus Scales in Segmented Tariffs With Stochastic Migration Between Segments," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 577-599. [Downloadable!] (restricted)
  7. Winkelmann, Rainer & Zimmermann, Klaus F., 1991. "A new approach for modeling economic count data," Economics Letters, Elsevier, vol. 37(2), pages 139-143, October. [Downloadable!] (restricted)
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