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MODELLING AND ESTIMATING INDIVIDUAL AND FIRM EFFECTS WITH COUNT PANEL DATA

Published online by Cambridge University Press:  02 May 2018

Jean-François Angers ,
Denise Desjardins ,
Georges Dionne  and
François Guertin
Jean-François Angers
Affiliation:
Department of Mathematics and Statistics, University of Montreal, Montreal, Canada E-Mail: jean-francois.angers@umontreal.ca
Denise Desjardins
Affiliation:
Canada Research Chair in Risk Management, HEC Montréal, Montreal, Canada E-Mail: denise.desjardins@cirrelt.ca
Georges Dionne*
Affiliation:
Canada Research Chair in Risk Management, HEC Montréal, 3000, Chemin de la Côte-Sainte-Catherine, room 4.454, Montreal, QC, H3T 2A7, Canada
François Guertin
Affiliation:
Calcul Québec, University of Montreal, Montreal, Canada E-Mail: francois.guertin@calculquebec.ca
*
E-Mail: georges.dionne@hec.ca
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Abstract

We propose a new parametric model for the modelling and estimation of event distributions for individuals in different firms. The analysis uses panel data and takes into account individual and firm effects in a non-linear model. Non-observable factors are treated as random effects. In our application, the distribution of accidents is affected by observable and non-observable factors from vehicles, drivers and fleets of vehicles. Observable and unobservable factors are significant to explain road accidents, which mean that insurance pricing should take into account all these factors. A fixed effects model is also estimated to test the consistency of the random effects model.

Keywords

Individual effectfirm effectnon-linear modelpanel dataPoissonDirichletinsurance pricingR code
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 48 , Issue 3 , September 2018 , pp. 1049 - 1078
Copyright
Copyright © Astin Bulletin 2018 

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