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Modelling and Estimating Individual and Firm Effects with Count Panel Data

Author

Listed:
  • Jean-François Angers
  • Denise Desjardins
  • Georges Dionne
  • François Guertin

Abstract

In this article, we propose a new parametric model for the modelling and estimation of accident distributions for drivers working in fleets of vehicles. The analysis uses panel data and takes into account individual and fleet effects in a non-linear model. Our sample contains more than 456,000 observations of vehicles and 87,000 observations of fleets. Non-observable factors are treated as random effects. The distribution of accidents is affected by both observable and non-observable factors from drivers, vehicles and fleets. Past experience of both individual drivers and individual fleets is very significant to explain road accidents. Unobservable factors are also significant, which means that insurance pricing should take into account both observable and unobservable factors in predicting the rate of road accidents under asymmetric information.

Suggested Citation

  • Jean-François Angers & Denise Desjardins & Georges Dionne & François Guertin, 2015. "Modelling and Estimating Individual and Firm Effects with Count Panel Data," Cahiers de recherche 1506, CIRPEE.
    • Handle: RePEc:lvl:lacicr:1506
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    References listed on IDEAS

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    1. Angers, Jean-François & Desjardins, Denise & Dionne, Georges & Guertin, François, 2006. "Vehicle and Fleet Random Effects in a Model of Insurance Rating for Fleets of Vehicles," ASTIN Bulletin, Cambridge University Press, vol. 36(1), pages 25-77, May.
    2. Cameron,A. Colin & Trivedi,Pravin K., 2013. "Regression Analysis of Count Data," Cambridge Books, Cambridge University Press, number 9781107667273, January.
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    Cited by:

    1. Denise Desjardins & Georges Dionne & Yang Lu, 2023. "Hierarchical random‐effects model for the insurance pricing of vehicles belonging to a fleet," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 242-259, March.
    2. Dionne, Georges & Desjardins, Denise & Angers, Jean-François, 2021. "Road safety for fleets of vehicles," Working Papers 21-3, HEC Montreal, Canada Research Chair in Risk Management.
    3. Youssef, Ahmed H. & Abonazel, Mohamed R. & Ahmed, Elsayed G., 2020. "Estimating the Number of Patents in the World Using Count Panel Data Models," MPRA Paper 100749, University Library of Munich, Germany, revised 19 Mar 2020.
    4. Çekyay, Bora & Kabak, Özgür & Ülengin, Füsun & Ulengin, Burç & Toktaş Palut, Peral & Özaydın, Özay, 2020. "A multi-commodity network flow and gravity model integration for analyzing impact of road transport quotas on international trade," Research in Transportation Economics, Elsevier, vol. 80(C).

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    More about this item

    Keywords

    Accident distributions; drivers in fleet of vehicles; individual effect; firm effect; panel data; Poisson; gamma; Dirichlet; insurance pricing;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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