Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077436 | Insurance: Mathematics and Economics | 2008 | 5 Pages |
Abstract
This paper questions the equidistribution assumption for the random effects in a frequency risk model. Two models are presented, which use parametric and nonparametric links between the variance of the random effect and frequency risk. They are estimated on a Spanish automobile insurance portfolio, for which a decreasing link is obtained. Conclusions are drawn for credibility and bonus-malus coefficients.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Catalina Bolancé, Montserrat Guillén, Jean Pinquet,