Per citar aquest document: http://ddd.uab.cat/record/45473
A priori ratemaking using bivariate poisson regression models
Bermúdez, Lluís (Universitat de Barcelona. Departament de Matemàtica Financera i Actuarial)
Xarxa de Referència en Economia Aplicada (XREAP)

Publicació: Xarxa de Referència en Economia Aplicada (XREAP) 2008
Descripció: 27 p.
Col·lecció: XREAP ; 2008-09
Resum: In automobile insurance, it is useful to achieve a priori ratemaking by resorting to gene- ralized linear models, and here the Poisson regression model constitutes the most widely accepted basis. However, insurance companies distinguish between claims with or without bodily injuries, or claims with full or partial liability of the insured driver. This paper exa- mines an a priori ratemaking procedure when including two different types of claim. When assuming independence between claim types, the premium can be obtained by summing the premiums for each type of guarantee and is dependent on the rating factors chosen. If the independence assumption is relaxed, then it is unclear as to how the tariff system might be affected. In order to answer this question, bivariate Poisson regression models, suitable for paired count data exhibiting correlation, are introduced. It is shown that the usual independence assumption is unrealistic here. These models are applied to an automobile insurance claims database containing 80,994 contracts belonging to a Spanish insurance company. Finally, the consequences for pure and loaded premiums when the independence assumption is relaxed by using a bivariate Poisson regression model are analysed.
Drets: Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i la xarxa i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús Creative Commons
Llengua: Anglès.
Document: workingPaper
Matèria: Bivariate Poisson regression models ; Zero-inflated models ; Automobile insurance ; Bootstrap methods ; A priori ratemaking ; Models de poisson ; Assegurances

Adreça alternativa: http://hdl.handle.net/2072/13011


27 p, 357.4 KB

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