Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects
This paper estimates and tests autoregressive specifications for dynamic random effects in a frequency risk model. Linear credibility predictors are derived from the estimators. Examples are provided from the automobile portfolio of a Spanish insurance company.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
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.:
- 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.
- Sundt, Bjorn, 1988. "Credibility estimators with geometric weights," Insurance: Mathematics and Economics, Elsevier, vol. 7(2), pages 113-122, April.
- Besson, Par Jean-Luc & Partrat, et Christian, 1992. "Trend et systèmes de Bonus-Malus," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 22(01), pages 11-31, May.
- Pinquet, Jean & Guillén, Montserrat & Bolancé, Catalina, 2001. "Allowance for the Age of Claims in Bonus-Malus Systems," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 31(02), pages 337-348, November.
- Purcaru, Oana & Denuit, Michel, 2003. "Dependence in Dynamic Claim Frequency Credibility Models," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 33(01), pages 23-40, May.
When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:33:y:2003:i:2:p:273-282. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.