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

DOI10.1016/S0167-6687(03)00139-2zbMath1103.91355MaRDI QIDQ1423358

Montserrat Guillen, Catalina Bolancé, Jean Pinquet

Publication date: 14 February 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

effects; Generalized estimating equations; Autocorrelation function for stationary random; Time-varying random effects

Mathematics Subject Classification ID

91B82: Statistical methods; economic indices and measures

Related Items

Varying transition rules in bonus-malus systems: from rules specification to determination of optimal relativities, On the link between credibility and frequency premium, The credibility premiums for models with dependence induced by common effects, A priori ratemaking using bivariate Poisson regression models, The balanced credibility estimators with correlation risk and inflation factor, A finite mixture of bivariate Poisson regression models with an application to insurance ratemaking, Bayesian multivariate Poisson models for insurance ratemaking, Copula models for insurance claim numbers with excess zeros and time-dependence, Copula credibility for aggregate loss models, Generalized estimating equations for variance and covariance parameters in regression credibility models, Credibility models with dependence structure over risks and time horizon

Cites Work

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• Longitudinal data analysis using generalized linear models
• A longitudinal data analysis interpretation of credibility models
• Panel data regression for counts
• Allowance for the Age of Claims in Bonus-Malus Systems
• Dependence in Dynamic Claim Frequency Credibility Models
• The multivariate Poisson-log normal distribution