this issue
previous article in this issuenext article in this issue

Document Details :

Title: Dependence in Dynamic Claim Frequency Credibility Models
Author(s): PURCARU, O. , DENUIT, M.
Journal: ASTIN Bulletin
Volume: 33    Issue: 1   Date: May 2003   
Pages: 23-40
DOI: 10.2143/AST.33.1.1037

Abstract :
In nonlife insurance, actuaries usually resort to random effects to take unexplained heterogeneity into account (in the spirit of the Bühlmann-Straub model). This paper aims to study the kind of dependence induced by the introduction of correlated latent variables in the annual numbers of claims reported by policyholders. The effect of reporting claims on the a posteriori distribution of the random effects will be made precise. This will be done by establishing some stochastic monotonicity property of the a posteriori distribution with respect to the claims history.