Abstract
The aim of the paper is to propose a new model for panel data. In a recent paper, the authors showed that the hurdle model is an interesting alternative to Poisson and Negative Binomial for the analysis of the number of claims reported by an insured driver. We generalize the hurdle model to account for longitudinal data under the assumption that covariates are time independent. Predictive distributions are shown to be easily computed analytically, as well as future premiums that can be calculated using the classical credibility theory.
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Boucher, JP., Denuit, M., Guillén, M. (2008). Modelling of Insurance Claim Count with Hurdle Distribution for Panel Data. In: Advances in Mathematical and Statistical Modeling. Statistics for Industry and Technology. Birkhäuser Boston. https://doi.org/10.1007/978-0-8176-4626-4_4
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DOI: https://doi.org/10.1007/978-0-8176-4626-4_4
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