A survey on models for panel count data with applications to insurance

被引：0

作者：

Boucher, Jean-Philippe ^{[1
]}

Guillen, Montserrat ^{[2
]}

机构：

[1] Univ Quebec, Dept Math, Montreal, PQ H3C 3P8, Canada

[2] Univ Barcelona, Dept Econometr, RFA IREA, E-08007 Barcelona, Spain

来源：

REVISTA DE LA REAL ACADEMIA DE CIENCIAS EXACTAS FISICAS Y NATURALES SERIE A-MATEMATICAS | 2009年 / 103卷 / 02期

基金：

加拿大自然科学与工程研究理事会;

关键词：

Panel data; random effects; conditional distribution; zero-inflated distribution; hurdle distribution; compound sum; POISSON REGRESSION; SELECTION; DEMAND;

D O I：

10.1007/BF03191908

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In insurance the expected number of claims per year given the observed characteristics of the covered risk is the basis for setting the price of a policy. Companies accumulate information of clients along several years, but in practice the panel data structure is not exploited. We review panel count data models that are useful in this context and present a new alternative based on the generalization of a compound sum.

引用

页码：277 / 294

页数：18

共 37 条

[1] [Anonymous], 2007, ACTUARIAL MODELLING
[2] [Anonymous], 2008, Econometric analysis of count data, DOI DOI 10.1007/978-3-540-24728-9_5
[3] Boucher J P, 2008, Variance, V2, P135
[4] Boucher JP, 2008, STAT IND TECHNOL, P45, DOI 10.1007/978-0-8176-4626-4_4
[5] RISK CLASSIFICATION FOR CLAIM COUNTS: A COMPARATIVE ANALYSIS OF VARIOUS ZERO-INFLATED MIXED POISSON AND HURDLE MODELS
Boucher, Jean-Philippe
Denuit, Michel
Guillen, Montserrat
[J]. NORTH AMERICAN ACTUARIAL JOURNAL, 2007, 11 (04) : 110 - 131
[6] Fixed versus random effects in poisson regression models for claim counts: A case study with motor insurance
Boucher, JP
Denuit, M
[J]. ASTIN BULLETIN, 2006, 36 (01): : 285 - 301
[7] BOUCHER JP, 2007, DTSCH GESELLSCHAFT V, V28, P29
[8] BOUCHER JP, 2008, J RISK INSU IN PRESS
[9] BOUCHER JP, 2008, CORRELATED RANDOM EF
[10] BOUCHER JP, 2008, SEMINONPARAMETRIC AP

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