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...

A captive is an insurance or reinsurance company established by a parent group to finance its own risks. Captives mix internal risk pooling between the business units of the parent group and risk transfer towards the reinsurance market. We analyse captives from an optimal insurance contract...

This paper analyses the rationale of long-term care (LTC) insurance purchasing from a statistical analysis of insurance data and a life cycle model. We make a short survey of the pros and cons of LTC insurance purchase. Then risk distributions in the occurrence and duration dimension are...

This paper exploits dynamic features of insurance contracts in the empirical analysis of moral hazard. We first show that experience rating implies negative occurrence dependence under moral hazard: individual claim intensities decrease with the number of past claims. We then show that dynamic...

A standard problem of applied contracts theory is to empirically distinguish between adverse selection and moral hazard. We show that dynamic insurance data allow to distinguish moral hazard from dynamic selection on unobservables. In the presence of moral hazard, experience rating implies...