Linear credibility models based on time series for claim counts
(2004)
Files
dp0422.pdf
Open Access - Adobe PDF
- 208.54 KB
Details
- Authors
- Abstract
- In this paper, several models for longitudinal analysis of claim frequencies are presented. These models are fitted to a large panel data set relating to a major Spanish insurance company. Credibility theory is then used to update the individual claim frequencies. The results are compared and the consequencies of increasing the strength of dependence are clearly visible.
- Affiliations
Citations
Denuit, M., Guillén, M., & Purcaru, O. (2004). Linear credibility models based on time series for claim counts (STAT Discussion Paper 0422). https://hdl.handle.net/2078.5/33354