On the Use of Conditional Specification Models in Claim Count Distributions: an Application to Bonus-Malus Systems

José María Sarabia, Emilio Gómez-Déniz and Francisco J. Vázquez-Polo

ASTIN Bulletin, 2004, vol. 34, issue 1, 85-98

Abstract: In this paper a new methodology using the conditional specification technique intoduced by Arnold et al. (1999) is used to obtain bonus-malus premiums. A Poisson distribution for which the parameter is a function of the classical structure parameter is used and a new class of prior distribution arises in a natural way. This model contains, as a particular case, the classical compound Poisson model and is found to be much more robust than earlier ones. An example is given to illustrate our ideas.

Date: 2004
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