Allowance for the age of claims in bonus-malus systems

Jean Pinquet, Guillén Montserrat () and Bolancé Catalina ()
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Guillén Montserrat: CECO - Laboratoire d'économétrie de l'École polytechnique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Bolancé Catalina: CECO - Laboratoire d'économétrie de l'École polytechnique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

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Abstract: The purpose of the paper is to use the age of claims in the prediction of risks. A dynamic random effects model on longitudinal count data is presented, and estimated on the portfolio of a major Spanish insurance company. The estimated autocorrelation coefficients of stationary random effects are decreasing. A consequence is that the predictive ability of a claim decreases with the lag between the period of risk prediction and the period of occurrence. There is a wide gap between the long term properties of actuarial and real-world experience rating schemes. This gap can be partly filled if the age of claims is taken into account in the actuarial model.

Keywords: Autocorrelation function for stationary random effects; Time-independent and dynamic random effects; Autocorrelation function for stationary random effects. (search for similar items in EconPapers)
Date: 2001-06-19
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Citations: View citations in EconPapers (14)

Published in ASTIN Bulletin, 2001, 31 (2), pp.337-348

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Journal Article: Allowance for the Age of Claims in Bonus-Malus Systems* (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00397070

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