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Number of Accidents or Number of Claims ? An Approach with Zero-Inflated Poisson Models for Panel Data

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Boucher, Jean-Philippe Denuit, Michel [UCL] Guillen, Montserrat

P>The hunger for bonus is a well-known phenomenon in insurance, meaning that the insured does not report all of his accidents to save bonus on his next year's premium. In this article, we assume that the number of accidents is based on a Poisson distribution but that the number of claims is generated by censorship of this Poisson distribution. Then, we present new models for panel count data based on the zero-inflated Poisson distribution. From the claims distributions, we propose an approximation of the accident distribution, which can provide insight into the behavior of insureds. A numerical illustration based on the reported claims of a Spanish insurance company is included to support this discussion.

Document type Article de périodique (Journal article) – Article de recherche
Publication date 2009
Language Anglais
Journal information "Journal of Risk and Insurance" - Vol. 76, no. 4, p. 821-846 (2009)
Peer reviewed yes
Publisher Wiley-blackwell Publishing, Inc (Malden)
issn 0022-4367
e-issn 1539-6975
Publication status Publié
Affiliation UCL
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Bibliographic reference Boucher, Jean-Philippe ; Denuit, Michel ; Guillen, Montserrat. Number of Accidents or Number of Claims ? An Approach with Zero-Inflated Poisson Models for Panel Data. In: Journal of Risk and Insurance, Vol. 76, no. 4, p. 821-846 (2009)
Permanent URL http://hdl.handle.net/2078.1/36008