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• W4317815210 abstract "This paper proposes a dynamic credibility model for claim count that extends the benchmark Poisson generalized linear models (GLM) by incorporating self-excitation and exponential decay features from Hawkes processes. Under the proposed model, a recent claim has a bigger impact on the credibility premium than an outdated claim. Empirical results show that the proposed model outperforms the Poisson GLM in both in-sample goodness-of-fit and out-of-sample prediction." @default.
• W4317815210 created "2023-01-24" @default.
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• W4317815210 date "2022-12-11" @default.
• W4317815210 modified "2023-09-23" @default.
• W4317815210 title "A Dynamic Credibility Model with Self-Excitation and Exponential Decay" @default.
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• W4317815210 doi "https://doi.org/10.1109/wsc57314.2022.10015461" @default.
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