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.)
|Date of creation:||2002|
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- Sundt, Bjorn, 1988. "Credibility estimators with geometric weights," Insurance: Mathematics and Economics, Elsevier, vol. 7(2), pages 113-122, April.
- 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.
- 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.
- 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.
- 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.
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