15:00 - 16:00
SQUARE at the University of St.Gallen (Building 11), Guisanstrasse, St. Gallen, Schweiz

Experience Rating in Insurance Pricing

Abstract: State-space models are widely used in many applications. In the domain of count data, one such example is the model proposed by Harvey and Fernandes (1989). Unlike many of its parameter-driven alternatives, this model is observation-driven, leading to closed-form expressions for the predictive density. To goal of this work is to extend the Harvey and Fernandes (1989) so that it becomes suitable for experience rating in insurance. We illustrate the model on car insurance data.