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On the Use of Conditional Specification Models in Claim Count Distributions: an Application to Bonus-Malus Systems

Published online by Cambridge University Press:  17 April 2015

José María Sarabia ,
Emilio Gómez-Déniz  and
Francisco J. Vázquez-Polo
José María Sarabia
Affiliation:
Department of Quantitative Methods, University of Las Palmas de Gran Canaria, 35017-Las Palmas de Gran Canaria, Spain, E-mail: [email protected]
Emilio Gómez-Déniz
Affiliation:
Department of Economics, University of Cantabria, 39005-Santander, Spain, E-mail: [email protected]
Francisco J. Vázquez-Polo
Affiliation:
Department of Quantitative Methods, University of Las Palmas de Gran Canaria, 35017-Las Palmas de Gran Canaria, Spain, E-mail: [email protected]
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Abstract

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In this paper a new methodology using the conditional specification technique intoduced by Arnold et al. (1999) is used to obtain bonus-malus premiums. A Poisson distribution for which the parameter is a function of the classical structure parameter is used and a new class of prior distribution arises in a natural way. This model contains, as a particular case, the classical compound Poisson model and is found to be much more robust than earlier ones. An example is given to illustrate our ideas.

Keywords

Conditional Specification ModelGeneralized Negative Binomial DistributionBonus-Malus systems
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 34 , Issue 1 , May 2004 , pp. 85 - 98
Copyright
Copyright © ASTIN Bulletin 2004

Footnotes

1

Department of Economics, University of Cantabria, 39005-Santander, Spain. E-mail: [email protected]

2

Department of Quantitative Methods in Economics, University of Las Palmas de Gran Canaria, 35017-Las Palmas de G.C., Spain. E-mail: {egomez or fjvpolo}@dmc.ulpgc.es

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