Time-varying credibility for frequency risk models: Estimation and tests for autoregressive specifications on the random effects - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Insurance: Mathematics and Economics Année : 2003

Time-varying credibility for frequency risk models: Estimation and tests for autoregressive specifications on the random effects

Résumé

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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Dates et versions

hal-00397271 , version 1 (19-06-2009)

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  • HAL Id : hal-00397271 , version 1

Citer

Jean Pinquet, Guillén Montserrat, Catalina Bolancé. Time-varying credibility for frequency risk models: Estimation and tests for autoregressive specifications on the random effects. Insurance: Mathematics and Economics, 2003, 33, pp.273-282. ⟨hal-00397271⟩
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