Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects.
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Publication:1423358
DOI10.1016/S0167-6687(03)00139-2zbMath1103.91355OpenAlexW3016359429MaRDI QIDQ1423358
Montserrat Guillen, Catalina Bolancé, Jean Pinquet
Publication date: 14 February 2004
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00139-2
effectsGeneralized estimating equationsAutocorrelation function for stationary randomTime-varying random effects
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Cites Work
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- Longitudinal data analysis using generalized linear models
- A longitudinal data analysis interpretation of credibility models
- Panel data regression for counts
- Allowance for the Age of Claims in Bonus-Malus Systems
- Dependence in Dynamic Claim Frequency Credibility Models
- The multivariate Poisson-log normal distribution
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