Centro de Documentacion de Fundación MAPFRE - Risk classification for claim counts : a comparative analysis of various zero-inflated mixed poisson and hurdle models

MAP20071509050

Risk classification for claim counts : a comparative analysis of various zero-inflated mixed poisson and hurdle models / Jean-Philippe Boucher, Michel Denuit and Montserrat Guillén

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

En: North American Actuarial Journal Society of Actuaries. - Schaumburg, Illinois. - Volume 11, number 4, October 2007; p. 110-131

1. Clasificación de riesgos . 2. Modelos econométricos . 3. Análisis de siniestralidad . 4. Modelos de simulación . 5. Matemática del seguro . 6. Casos prácticos . 7. España . I. Denuit, Michel . II. Guillén, Montserrat . III. Morrison, Philip . IV. Título.