RISK CLASSIFICATION FOR CLAIM COUNTS: A COMPARATIVE ANALYSIS OF VARIOUS ZERO-INFLATED MIXED POISSON AND HURDLE MODELS

被引：68

作者：

Boucher, Jean-Philippe ^{[1
]}

Denuit, Michel ^{[2
]}

Guillen, Montserrat ^{[3
]}

机构：

[1] Univ Quebec Montreal, Dept Math, 201 Ave President Kennedy, Montreal, PQ H2X 3Y7, Canada

[2] Univ Catholic Louvain, Inst Sci Actuarielles, B-1348 Louvain, Belgium

[3] Univ Barcelona, Dept Econometr, E-08034 Barcelona, Spain

来源：

NORTH AMERICAN ACTUARIAL JOURNAL | 2007年 / 11卷 / 04期

关键词：

D O I：

10.1080/10920277.2007.10597487

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper presents and compares different risk classification models for the annual number of claims reported to the insurer. Generalized heterogeneous, zero-inflated, hurdle, and compound frequency models are applied to a sample of an automobile portfolio of a major company operating in Spain. A statistical comparison between models is performed with the help of various specification tests (Score and Hausman tests for nested models, Vuong test or information criteria for nonnested ones). Interesting results about claiming behavior are obtained.

引用

页码：110 / 131

页数：22

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