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Experience rating in non-life insurance

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Listed:
  • Jean Pinquet

    (X-DEP-ECO - Département d'Économie de l'École Polytechnique - X - École polytechnique)

Abstract

This paper presents statistical models which lead to experience rating in insurance. Serial correlation for risk variables can receive endogeneous or exogeneous explanations. The interpretation retained by actuarial models is exogeneous and reflects the positive contagion usually observed for the number of claims. This positive contagion can be explained by the revelation throughout time of a hidden features in the risk distributions. These features are represented by fixed effects which are predicted with a random effects model. This article discusses identification issues on the nature of the dynamics of non-life insurance data. Example of predictions are given for count data models with a constant or time-varying random effects, one or several equations, and for cost-number models on events.

Suggested Citation

  • Jean Pinquet, 2012. "Experience rating in non-life insurance," Working Papers hal-00677100, HAL.
    • Handle: RePEc:hal:wpaper:hal-00677100
    Note: View the original document on HAL open archive server: https://hal.science/hal-00677100
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    References listed on IDEAS

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    Cited by:

    1. Dionne, Georges, 2012. "The empirical measure of information problems with emphasis on insurance fraud and dynamic data," Working Papers 12-10, HEC Montreal, Canada Research Chair in Risk Management.

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    Keywords

    Fixed and random effects; overdispersion; expected value principle; linear credibility approach.; linear credibility approach;
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