On the link between credibility and frequency premium

Jean Pinquet, Montserrat Guillen and Catalina Bolancé
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Catalina Bolancé: UB - Universitat de Barcelona

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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: Estimateurs à noyaux; Processus gamma; Kernel-based estimators; Gamma processes (search for similar items in EconPapers)
Date: 2007
Note: View the original document on HAL open archive server: https://hal.science/hal-00243063
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Journal Article: On the link between credibility and frequency premium (2008)
Working Paper: On the link between credibility and frequency premium (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00243063

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