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Risk Classification for Claim Counts

By Jean-Philippe Boucher, Michel Denuit and Montserrat Guillén

Abstract

This paper presents and compares different risk classification models for the annual number of claims reported to the insurer. Generalized heterogeneous, zero-inflated, hurdle and compound frequency models are applied to a sample of an automobile portfolio of a major company operating in Spain. A statistical comparison between models is performed with the help of various specification tests (Score and Hausman tests for nested models, Vuong test or information criteria for non-nested ones). Interesting results about claiming behavior are obtained

Topics: Risk Classification, Poisson Mixture, Zero-Inflated Distribution, Hurdle Models, Score Test, Hausman Test, Vuong Test, Information Criteria.
Year: 2007
DOI identifier: 10.1080/10920277.2007.10597487
OAI identifier: oai:www.archipel.uqam.ca:8279

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