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Document Details : Title: Allowance for the Age of Claims in Bonus-Malus Systems Author(s): PINQUET, J. , GUILLÉN, M. , BOLANCÉ, C. Journal: ASTIN Bulletin Volume: 31 Issue: 2 Date: November 2001 Pages: 337-348 DOI: 10.2143/AST.31.2.1009 Abstract : The purpose of the paper is to use the age of claims in the prediction of risks. A dynamic random effects model on longitudinal count data is presented, and estimated on the portfolio of a major Spanish insurance company. The estimated autocorrelation coefficients of stationary random effects are decreasing. A consequence is that the predictive ability of a claim decreases with the lag between the period of risk prediction and the period of occurrence. There is a wide gap between the long term properties of actuarial and real-world experience rating schemes. This gap can be partly filled if the age of claims is taken into account in the actuarial model. |
