Title of article :
Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects
Author/Authors :
Bolancé، نويسنده , , Catalina and Guillen، نويسنده , , Montserrat and Pinquet، نويسنده , , Jean، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2003
Abstract :
This paper estimates and tests autoregressive specifications for dynamic random effects in a frequency risk model. Linear credibility predictors are derived from the estimators. Examples are provided from the automobile portfolio of a Spanish insurance company.
Keywords :
Time-varying random effects , Autocorrelation function for stationary random effects , Generalized estimating equations
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics
