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Risk Classification for Claim Counts

Author

Listed:
  • Jean-Philippe Boucher
  • Michel Denuit
  • Montserrat Guillén

Abstract

This paper presents and compares different risk classification models for the annual number of claims reported to the insurer. Generalized heterogeneous, zero-inflated, hurdle, and compound frequency models are applied to a sample of an automobile portfolio of a major company operating in Spain. A statistical comparison between models is performed with the help of various specification tests (Score and Hausman tests for nested models, Vuong test or information criteria for nonnested ones). Interesting results about claiming behavior are obtained.

Suggested Citation

  • Jean-Philippe Boucher & Michel Denuit & Montserrat Guillén, 2007. "Risk Classification for Claim Counts," North American Actuarial Journal, Taylor & Francis Journals, vol. 11(4), pages 110-131.
  • Handle: RePEc:taf:uaajxx:v:11:y:2007:i:4:p:110-131
    DOI: 10.1080/10920277.2007.10597487
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