MODELING THE FREQUENCY OF CLAIMS IN AUTO INSURANCE WITH APPLICATION TO A FRENCH CASE

Mihaela David

Review of Economic and Business Studies, 2014, issue 13, 69-85

Abstract: The aim of this paper is to present the different models for count data used in the actuarial literature. In addition to the Poisson regression, Negative Binomial and Zero-Inflated models are applied to an auto insurance portfolio of a French insurance company. Statistical tests to evaluate the performance of the models are explained taking into consideration the difference between the nested and the non-nested models. The comparison between the nested models is performed using specification tests and the Vuong test is used to compare the fitting of non-nested models.

Keywords: Frequency of claims; count data models; over dispersion; zero inflation; models comparison; specification tests; Vuong test (search for similar items in EconPapers)
JEL-codes: G22 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:aic:revebs:y:2014:i:13:davidm

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