Modelling and Estimating Individual and Firm Effects with Count Panel Data

Jean-François Angers (), Denise Desjardins (), Georges Dionne () and François Guertin
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Jean-François Angers: Université de Montréal
Denise Desjardins: HEC Montreal, Canada Research Chair in Risk Management
François Guertin: Université de Montréal

No 15-2, Working Papers from HEC Montreal, Canada Research Chair in Risk Management

Abstract: We propose a new parametric model for the modelling and estimation of event distributions for individuals in different firms. The analysis uses panel data and takes into account individual and firm effects in a non-linear model. Non-observable factors are treated as random effects. In our application, the distribution of accidents is affected by observable and non-observable factors from vehicles, drivers, and fleets of vehicles. Observable and unobservable factors are significant to explain road accidents, which means that insurance pricing should take into account all these factors. A fixed effects model is also estimated to test the consistency of the random effects model.

Keywords: Individual effect; firm effect; non-linear model; panel data; Poisson; Dirichlet; insurance pricing; R code (search for similar items in EconPapers)
JEL-codes: C23 C25 C55 G22 (search for similar items in EconPapers)
Pages: 82 pages
Date: 2018-01-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: MODELLING AND ESTIMATING INDIVIDUAL AND FIRM EFFECTS WITH COUNT PANEL DATA (2018)
Working Paper: Modelling and Estimating Individual and Firm Effects with Count Panel Data (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:crcrmw:2015_002

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