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Fixed versus random effects in Poisson regression models for claim counts: a case study with motor insurance

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Boucher, Jean-Philippe Denuit, Michel [UCL]

This paper examines the validity of some stylized statements that can be found in the actuarial literature about random effects models. Specifically, the actual meaning of the estimated parameters and the nature of the residual heterogeneity are discussed. A numerical illustration performed on a Belgian motor third party liability portfolio supports this discussion.

Document type Document de travail (Working Paper)
Access type Accès libre
Publication date 2005
Language Anglais
Number of pages 15 pages
Collection ACTU Working Paper - 2005-11
Affiliation UCL - EUEN/STAT - Institut de statistique
Keywords Poisson mixture ; risk classification ; claim frequencies ; random effects ; fixed effects
Links
Bibliographic reference Boucher, Jean-Philippe ; Denuit, Michel. Fixed versus random effects in Poisson regression models for claim counts: a case study with motor insurance. ACTU Working Paper ; 2005-11 (2005) 15 pages
Permanent URL http://hdl.handle.net/2078.1/115768