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.
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|Date of creation:||2002|
|Date of revision:|
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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.
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