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A survey on models for panel count data with applications to insurance. (English) Zbl 1180.62147

Summary: In insurance the expected number of claims per year given the observed characteristics of the covered risk is the basis for setting the price of a policy. Companies accumulate information of clients along several years, but in practice the panel data structure is not exploited. We review panel count data models that are useful in this context and present a new alternative based on the generalization of a compound sum.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
62E15 Exact distribution theory in statistics
65C60 Computational problems in statistics (MSC2010)
91B30 Risk theory, insurance (MSC2010)
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