Greatest accuracy credibility with dynamic heterogeneity: the Harvey-Fernandes model

This paper proposes a generalization of the merit rating system described in Dionne & Vanasse (1989,1992). The model takes into account explanatory variables as well as possible modifications in the policyholders unobservable risk characteristics. It is based on the analysis of time series for count observations proposed by Harvey & Fernandes (1989). Numerical results obtained with a Spanish panel databasis for motor insurance illustrate the approach described in this paper.