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Greatest accuracy credibility with dynamic heterogeneity: the Harvey-Fernandes model

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Bolancé, Catalina [University of Barcelona] Denuit, Michel [UCL] Lambert, Philippe [ULG] Guillén, Montserrat [University of Barcelona]

This paper proposes a generalization of the merit rating system described in Dionne & Vanasse (1989,1992). The model takes into account explanatory variables as well as possible modifications in the policyholders unobservable risk characteristics. It is based on the analysis of time series for count observations proposed by Harvey & Fernandes (1989). Numerical results obtained with a Spanish panel databasis for motor insurance illustrate the approach described in this paper.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 2007
Language Anglais
Journal information "Belgian Actuarial Bulletin" - Vol. 7, no. 1, p. 14-18 (2007)
Peer reviewed yes
Publisher Springer
issn 2190-9733
Publication status Publié
Affiliation Louvain School of Management
Keywords Poisson-Gamma mixture ; Credibility theory ; a posteriori ratemaking ; Times series models for counts
Links
Bibliographic reference Bolancé, Catalina ; Denuit, Michel ; Lambert, Philippe ; Guillén, Montserrat. Greatest accuracy credibility with dynamic heterogeneity: the Harvey-Fernandes model. In: Belgian Actuarial Bulletin, Vol. 7, no. 1, p. 14-18 (2007)
Permanent URL http://hdl.handle.net/2078/16882