MODELING THE FREQUENCY OF CLAIMS IN AUTO INSURANCE WITH APPLICATION TO A FRENCH CASE
MODELING THE FREQUENCY OF CLAIMS IN AUTO INSURANCE WITH APPLICATION TO A FRENCH CASE
Author(s): Mihaela DavidSubject(s): Methodology and research technology, Financial Markets
Published by: Editura Universităţii »Alexandru Ioan Cuza« din Iaşi
Keywords: Frequency of claims; count data models; over dispersion; zero inflation; models comparison; specification tests; Vuong test;
Summary/Abstract: The aim of this paper is to present the different models for count data used in the actuarial literature. In addition to the Poisson regression, Negative Binomial and Zero-Inflated models are applied to an auto insurance portfolio of a French insurance company. Statistical tests to evaluate the performance of the models are explained taking into consideration the difference between the nested and the non-nested models. The comparison between the nested models is performed using specification tests and the Vuong test is used to compare the fitting of non-nested models.
Journal: Review of Economic and Business Studies (REBS)
- Issue Year: 2014
- Issue No: 13
- Page Range: 69-85
- Page Count: 17
- Language: English
