Risk Classification for Claim Counts

Boucher, Jean-Philippe; Denuit, Michel et Guillén, Montserrat (2007). « Risk Classification for Claim Counts ». North American Actuarial Journal, 11(4), pp. 110-131.

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Résumé

This paper presents and compares different risk classification models for the annual number of claims reported to the insurer. Generalized heterogeneous, zero-inflated, hurdle and compound frequency models are applied to a sample of an automobile portfolio of a major company operating in Spain. A statistical comparison between models is performed with the help of various specification tests (Score and Hausman tests for nested models, Vuong test or information criteria for non-nested ones). Interesting results about claiming behavior are obtained.

Type: Article de revue scientifique
Mots-clés ou Sujets: Risk Classification, Poisson Mixture, Zero-Inflated Distribution, Hurdle Models, Score Test, Hausman Test, Vuong Test, Information Criteria.
Unité d'appartenance: Faculté des sciences > Département de mathématiques
Déposé par: Jean-Philippe Boucher
Date de dépôt: 22 avr. 2016 20:00
Dernière modification: 27 avr. 2016 19:30
Adresse URL : http://www.archipel.uqam.ca/id/eprint/8279

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