Allowing for time and cross dependence assumptions between claim counts in ratemaking models

dc.contributor.authorBermúdez, Lluís
dc.contributor.authorGuillén, Montserrat
dc.contributor.authorKarlis, Dimitris
dc.date.accessioned2018-11-13T08:54:28Z
dc.date.available2021-11-30T06:10:14Z
dc.date.issued2018-11
dc.date.updated2018-11-13T08:54:28Z
dc.description.abstractFor purposes of ratemaking, time dependence and cross dependence have been treated as separate entities in the actuarial literature. Indeed, to date, little attention has been paid to the possibility of considering the two together. To discuss the effect of the simultaneous inclusion of different dependence assumptions in ratemaking models, a bivariate INAR(1) regression model is adapted to the ratemaking problem of pricing an automobile insurance contract with two types of coverage, taking into account both the correlation between claims from different coverage types and the serial correlation between the observations of the same policyholder observed over time. A numerical application using an automobile insurance claims database is conducted and the main finding is that the improvement obtained with a BINAR(1) regression model, compared to the outcomes of the simplest models, is marked, implying that we need to consider both time and cross correlations to fit the data at hand. In addition, the BINAR(1) specification shows a third source of dependence to be significant, namely, cross-time dependence.
dc.format.extent9 p.
dc.format.mimetypeapplication/pdf
dc.identifier.idgrec681288
dc.identifier.issn0167-6687
dc.identifier.urihttps://hdl.handle.net/2445/126042
dc.language.isoeng
dc.publisherElsevier B.V.
dc.relation.isformatofVersió postprint del document publicat a: https://doi.org/10.1016/j.insmatheco.2018.06.003
dc.relation.ispartofInsurance Mathematics and Economics, 2018, vol. 83, num. November, p. 161-169
dc.relation.urihttps://doi.org/10.1016/j.insmatheco.2018.06.003
dc.rightscc-by-nc-nd (c) Elsevier B.V., 2018
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es
dc.sourceArticles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)
dc.subject.classificationAssegurances d'automòbils
dc.subject.classificationAnàlisi de regressió
dc.subject.classificationSistema binari (Matemàtica)
dc.subject.classificationVariables (Matemàtica)
dc.subject.otherAutomobile insurance
dc.subject.otherRegression analysis
dc.subject.otherBinary system (Mathematics)
dc.subject.otherVariables (Mathematics)
dc.titleAllowing for time and cross dependence assumptions between claim counts in ratemaking models
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/acceptedVersion

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