Journal
NORTH AMERICAN ACTUARIAL JOURNAL
Volume 11, Issue 4, Pages 110-131Publisher
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
DOI: 10.1080/10920277.2007.10597487
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- Spanish Ministry of Education and Science FEDER [SEJ2005/0552-ECON]
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This paper presents and compares different risk classification models for the annual number of claims reported to the insurer. Generalized heterogeneous, zero-inflated, hurdle, and compound frequency models are applied to a sample of an automobile portfolio of a major company operating in Spain. A statistical comparison between models is performed with the help of various specification tests (Score and Hausman tests for nested models, Vuong test or information criteria for nonnested ones). Interesting results about claiming behavior are obtained.
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