Per citar aquest document: http://ddd.uab.cat/record/69597
Modelling dependence in a ratemaking procedure with multivariate Poisson regression models
Bermúdez, Lluís (Universitat de Barcelona. Departament de Matemàtica Financera i Actuarial)
Karlis, Dimitris (Athens University of Economics and Business)
Xarxa de Referència en Economia Aplicada (XREAP)

Publicació: Xarxa de Referència en Economia Aplicada (XREAP) 2010
Descripció: 40 p.
Col·lecció: XREAP ; 2010-4
Resum: When actuaries face with the problem of pricing an insurance contract that contains different types of coverage, such as a motor insurance or homeowner's insurance policy, they usually assume that types of claim are independent. However, this assumption may not be realistic: several studies have shown that there is a positive correlation between types of claim. Here we introduce different regression models in order to relax the independence assumption, including zero-inflated models to account for excess of zeros and overdispersion. These models have been largely ignored to multivariate Poisson date, mainly because of their computational di±culties. Bayesian inference based on MCMC helps to solve this problem (and also lets us derive, for several quantities of interest, posterior summaries to account for uncertainty). Finally, these models are applied to an automobile insurance claims database with three different types of claims. We analyse the consequences for pure and loaded premiums when the independence assumption is relaxed by using different multivariate Poisson regression models and their zero-inflated versions.
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: Multivariate Poisson regression models ; Zero-inflated models ; Automobile insurance ; MCMC inference ; Gibbs sampling ; Multivariate analysis ; Bayesian statistical decision ; Assegurances d'automòbils ; Anàlisi multivariable ; Estadística bayesiana

Adreça alternativa: http://hdl.handle.net/2072/47992


40 p, 291.1 KB

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