Modelling and Estimating Individual and Firm Effects with Count Panel Data

82 Pages Posted: 2 May 2015 Last revised: 17 Jan 2018

See all articles by Jean-François Angers

Jean-François Angers

University of Montreal - Center for Research on Transportation

Denise Desjardins

University of Montreal - Center for Research on Transportation

Georges Dionne

HEC Montreal - Department of Finance

François Guertin

University of Montreal - Center for Research on Transportation

Date Written: January 9, 2018

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 means 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 effect, firm effect, non-linear model, panel data, Poisson, Dirichlet, insurance pricing, R code

JEL Classification: C23, C25, C55, G22

Suggested Citation

Angers, Jean-François and Desjardins, Denise and Dionne, Georges and Guertin, François, Modelling and Estimating Individual and Firm Effects with Count Panel Data (January 9, 2018). Available at SSRN: https://ssrn.com/abstract=2601123 or http://dx.doi.org/10.2139/ssrn.2601123

Jean-François Angers

University of Montreal - Center for Research on Transportation ( email )

C.P. 6128, Succ. Centre-Ville
Montreal, Quebec H3C 3J7
Canada

Denise Desjardins

University of Montreal - Center for Research on Transportation ( email )

C.P. 6128, Succ. Centre-Ville
Montreal, Quebec H3C 3J7
Canada

Georges Dionne (Contact Author)

HEC Montreal - Department of Finance ( email )

3000 Chemin de la Cote-Sainte-Catherine
Montreal, Quebec H3T 2A7
Canada
514-340-6596 (Phone)
514-340-5019 (Fax)

HOME PAGE: http://www.hec.ca/gestiondesrisques/

François Guertin

University of Montreal - Center for Research on Transportation ( email )

C.P. 6128, Succ. Centre-Ville
Montreal, Quebec H3C 3J7
Canada

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