On the link between credibility and frequency premium
Overview & Synopsis
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.
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hal.science)
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Document Information
| Document Title | On the link between credibility and frequency premium |
|---|---|
| Author / Organization | Jean Pinquet, Guillén Montserrat, Catalina Bolancé |
| Subject & Discipline | Multidisciplinary Academic Open Research |
| Categories | Science & Mathematics |
| Publication Year | 2007 |
| License / Rights | Open Access / Creative Commons |
| Resource Verification | Listed PDF (Verification Pending) |
| Original Host Website |
HAL Open Science
(hal.science)
|
| File Format | application/pdf (Portable Document Format) |
| Language | EN |
| Catalog ID | DOC-229236 |
| Original Source Link | Visit Source Page on hal.science » |