Poisson models with dynamic random effects and nonnegative credibilities per period

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<title>Poisson models with dynamic random effects and nonnegative credibilities per period</title>
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<namePart>Pinquet, Jean</namePart>
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<dateIssued encoding="marc">2020</dateIssued>
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<abstract displayLabel="Summary">This paper provides a toolbox for the credibility analysis of frequency risks, with allowance for the seniority of claims and of risk exposure. We use Poisson models with dynamic and second-order stationary random effects that ensure nonnegative credibilities per period. We specify classes of autocovariance functions that are compatible with positive random effects and that entail nonnegative credibilities regardless of the risk exposure. Random effects with nonnegative generalized partial autocorrelations are shown to imply nonnegative credibilities. This holds for ARFIMA(0, d, 0) models. The AR(p) time series that ensure nonnegative credibilities are specified from their precision matrices. The compatibility of these semiparametric models with log-Gaussian random effects is verified.Gaussian sequences with ARFIMA(0, d, 0) specifications, which are then exponentiated entrywise, provide positive random effects that also imply nonnegative credibilities. Dynamic random effects applied to Poisson distributions are retained as products of two uncorrelated and positive components: the first is time-invariant, whereas the autocovariance function of the second vanishes at infinity and ensures nonnegative credibilities. The limit credibility is related to the three levels for the length of the memory in the random effects. The limit credibility is less than one in the short memory case, and a formula is provided.</abstract>
<note type="statement of responsibility">Jean Pinquet</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080592011">
<topic>Modelos actuariales</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090041721">
<topic>Distribución Poisson-Beta</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080663520">
<topic>Credibilidad</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>01/05/2020 Volumen 50 Número 2 - mayo 2020 , p. 585-618</text>
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