On the link between credibility and frequency premium

Catalina Bolancé, Montserrat Guillen and Jean Pinquet

Insurance: Mathematics and Economics, 2008, vol. 43, issue 2, 209-213

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.

Keywords: Generalized; linear; models; Parametric; and; nonparametric; links; Gamma; process (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (8)

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Working Paper: On the link between credibility and frequency premium (2008)
Working Paper: On the link between credibility and frequency premium (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:2:p:209-213

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