On the link between credibility and frequency premium

This paper questions the equidistribution assumption for the random effects in a frequency risk model. Two models are presented, which use parametric and nonparametric links between the variance of the random effect and frequency risk. They are estimated on a Spanish automobile insurance portfolio, for which a decreasing link is obtained. Conclusions are drawn for credibility and bonus-malus coefficients.

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Year of publication:	2008
Authors:	Bolancé, Catalina ; Guillén, Montserrat ; Pinquet, Jean
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 43.2008, 2, p. 209-213
Publisher:	Elsevier
Keywords:	Generalized linear models Parametric and nonparametric links Gamma process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005375488