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Fixed versus Random Effects in Poisson Regression Models for Claim Counts: A Case Study with Motor Insurance

Published online by Cambridge University Press:  17 April 2015

Jean-Philippe Boucher  and
Michel Denuit
Jean-Philippe Boucher
Affiliation:
Institut des Sciences Actuarielles, Université Catholique de Louvain, 6 rue des Wallons, B-1348 Louvain-la-Neuve, Belgium
Michel Denuit
Affiliation:
Institut des Sciences Actuarielles, Université Catholique de Louvain, 6 rue des Wallons, B-1348 Louvain-la-Neuve, Belgium
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Abstract

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This paper examines the validity of some stylized statements that can be found in the actuarial literature about random effects models. Specifically, the actual meaning of the estimated parameters and the nature of the residual heterogeneity are discussed. A numerical illustration performed on a Belgian motor third party liability portfolio supports this discussion.

Keywords

Poisson mixturerisk classificationclaim frequenciesrandom effectsfixed effects
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 36 , Issue 1 , May 2006 , pp. 285 - 301
Copyright
Copyright © ASTIN Bulletin 2006

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