Risk classification for claim counts: A comparative analysis of various zero-inflated mixed Poisson and hurdle models

Boucher, Jean-Philippe;Guillén, Montserrat;Denuit, Michel
(2007) North American Actuarial Journal — Vol. 11, n° 4, p. 110-131 (2007)

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Authors
  • Boucher, Jean-Philippe
    Author
  • Guillén, Montserrat
    Author
  • Denuit, MichelUCLouvain
    Author
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.
Affiliations
  • Louvain School of ManagementCESAM - Center for Studies in Asset Management
  • Institution iconUCLouvainAutre

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Boucher, J.-P., Guillén, M., & Denuit, M. (2007). Risk classification for claim counts: A comparative analysis of various zero-inflated mixed Poisson and hurdle models. North American Actuarial Journal, 11(4), 110-131. https://doi.org/10.1080/10920277.2007.10597487 (Original work published 2007)