Poisson models with dynamic random effects and nonnegative credibilities per period
Pinquet, Jean
text
periodical
bel
20200501
continuing
eng
This paper provides a toolbox for the credibility analysis of frequency risks, with allowance for the seniority of claims and of risk exposure. We use Poisson models with dynamic and second-order stationary random effects that ensure nonnegative credibilities per period. We specify classes of autocovariance functions that are compatible with positive random effects and that entail nonnegative credibilities regardless of the risk exposure. Random effects with nonnegative generalized partial autocorrelations are shown to imply nonnegative credibilities. This holds for ARFIMA(0, d, 0) models. The AR(p) time series that ensure nonnegative credibilities are specified from their precision matrices. The compatibility of these semiparametric models with log-Gaussian random effects is verified.Gaussian sequences with ARFIMA(0, d, 0) specifications, which are then exponentiated entrywise, provide positive random effects that also imply nonnegative credibilities. Dynamic random effects applied to Poisson distributions are retained as products of two uncorrelated and positive components: the first is time-invariant, whereas the autocovariance function of the second vanishes at infinity and ensures nonnegative credibilities. The limit credibility is related to the three levels for the length of the memory in the random effects. The limit credibility is less than one in the short memory case, and a formula is provided.
Jean Pinquet
Cálculo actuarial
Modelos actuariales
Distribución Poisson-Beta
Credibilidad
6
Astin bulletin
Belgium : ASTIN and AFIR Sections of the International Actuarial Association
0515-0361
MAP20077000420
01/05/2020 Volumen 50 Número 2 - mayo 2020 , p. 585-618
MAP
200604
20200610090056.0
MAP20200019138
spa