Actuarial Modelling of Claim Counts: Risk Classification, Credibility and Bonus-Malus Systems
Citations
100 citations
Cites methods from "Actuarial Modelling of Claim Counts..."
...In the insurance industry, a generalized linear model with poisson distribution is often used to predict the claim counts [14]....
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89 citations
Cites background from "Actuarial Modelling of Claim Counts..."
...Denuit et al. (2007) provides an exhaustive overview of count data models for insurance claims....
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83 citations
Cites background or methods from "Actuarial Modelling of Claim Counts..."
...In the univariate case, Lambert [1992] introduced the zero-inflated Poisson regression model....
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...In the univariate case, Lambert [1992] introduced the zero-inflated Poisson regression model. Since then, there has been a considerable increase in the number of applications of zero-inflated regression models based on several different distributions. A comprehensive discussion of these applications can be found in Winkelmann [2008] and a specific application to insurance ratemaking is addressed in Boucher et al....
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68 citations
63 citations
Cites background from "Actuarial Modelling of Claim Counts..."
...The current state of the art (see Denuit et al. (2007) and de Jong and Heller (2008) for an overview) uses generalized linear models (GLMs) (McCullagh and Nelder, 1989), with typically a Poisson GLM for the claim counts and a gamma GLM for the claim severities....
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...From a theoretical point of view, this can be motivated by the probabilistic framework of Poisson processes (Denuit et al., 2007)....
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...Despite the deregulation, many insurers in the Belgian market still apply the former mandatory system (Denuit et al., 2007)....
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...This phenomenon is known as the hunger for bonus (Denuit et al., 2007)....
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