Poisson-Gamma mixture; Credibility theory; A posteriori ratemaking
Abstract :
[en] 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.
Disciplines :
Mathematics
Author, co-author :
Bolancé, Catalina
Denuit, Michel
Guillén, Montserrat
Lambert, Philippe ; Université de Liège - ULiège > Institut des sciences humaines et sociales > Méthodes quantitatives en sciences sociales
Language :
English
Title :
Greatest accuracy credibility with dynamic heterogeneity: the Harvey-Fernandes model
