Time-varying credibility for frequency risk models: Estimation and tests for autoregressive specifications on the random effects

Jean Pinquet, Guillén Montserrat () and Catalina Bolancé ()
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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
Catalina Bolancé: UB - Universitat de Barcelona

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Abstract: This paper estimates and tests autoregressive specifications for dynamic random effects in a frequency risk model. Linear credibility predictors are derived from the estimators. Examples are provided from the automobile portfolio of a Spanish insurance company.

Keywords: Generalized Estimating Equations; Time-varying random effects; Autocorrelation function for stationary random effects; Generalized Estimating Equations. (search for similar items in EconPapers)
Date: 2003-03-19
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Citations: View citations in EconPapers (14)

Published in Insurance: Mathematics and Economics, 2003, 33, pp.273-282

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Related works:
Journal Article: Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects (2003)
Working Paper: Time-varying credibility for frequency risk models: Estimation and tests for autoregressive specifications on the random effects (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00397271

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