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Modeling The Frequency Of Claims In Auto Insurance With Application To A French Case

Author

Listed:
  • Mihaela DAVID

    (Alexandru Ioan Cuza University of Iasi, Iasi, Roumania)

Abstract
The aim of this paper is to present the different models for count data used in the actuarial literature. In addition to the Poisson regression, Negative Binomial and Zero-Inflated models are applied to an auto insurance portfolio of a French insurance company. Statistical tests to evaluate the performance of the models are explained taking into consideration the difference between the nested and the non-nested models. The comparison between the nested models is performed using specification tests and the Vuong test is used to compare the fitting of non-nested models.

Suggested Citation

  • Mihaela DAVID, 2014. "Modeling The Frequency Of Claims In Auto Insurance With Application To A French Case," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 13, pages 69-85, June.
    • Handle: RePEc:aic:revebs:y:2014:i:13:davidm
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    References listed on IDEAS

    as
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    9. Hausman, Jerry & Hall, Bronwyn H & Griliches, Zvi, 1984. "Econometric Models for Count Data with an Application to the Patents-R&D Relationship," Econometrica, Econometric Society, vol. 52(4), pages 909-938, July.
    10. Antonio, Katrien & Frees, Edward W. & Valdez, Emiliano A., 2010. "A Multilevel Analysis of Intercompany Claim Counts," ASTIN Bulletin, Cambridge University Press, vol. 40(1), pages 151-177, May.
    11. Gourieroux, C. & Jasiak, J., 2004. "Heterogeneous INAR(1) model with application to car insurance," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 177-192, April.
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    More about this item

    Keywords

    Frequency of claims; count data models; over dispersion; zero inflation; models comparison; specification tests; Vuong test;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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