correlated random effects for hurdle models applied to claim counts
作者： Jean-Philippe Boucher , Michel Denuit , Montserrat Guillén , None
DOI:
关键词: Econometrics 、 Distribution (mathematics) 、 Random effects model 、 Statistics 、 Generalization 、 Panel data 、 Covariate 、 Independence (probability theory) 、 A priori and a posteriori 、 Engineering 、 Variance (accounting)
摘要: New models for panel data that consist of a generalization the hurdle model are presented and applied to modeling claim counts. Correlated random effects assumed two processes involved allow dependence among all contracts held by same insured. A method obtain posteriori distribution as well predictive distributions number claims is presented. numerical illustration reported insurance shows if independence between assumed, then variance priori premiums may be underestimated. If considered, predicted given past observations covariate information its also larger than one obtained when assumed.
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