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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/221797
Conditional likelihood based inference on single-index models for motor insurance claim severity
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Prediction of a traffc accident cost is one of the major problems in motor insurance. To identify the factors that infuence costs is one of the main challenges of actuarial modelling. Telematics data about individual driving patterns could help calculating the expected claim severity in motor insurance. We propose using single-index models to assess the marginal effects of covariates on the claim severity conditional distribution. Thus, drivers with a claim cost distribution that has a long tail can be identifed. These are risky drivers, who should pay a higher insurance premium and for whom preventative actions can be designed. A new kernel approach to estimate the covariance matrix of coeffcients’ estimator is outlined. Its statistical properties are described and an application to an innovative data set containing information on driving styles is presented. The method provides good results when the response variable is skewed.
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BOLANCÉ LOSILLA, Catalina, CAO, Ricardo and GUILLÉN, Montserrat. Conditional likelihood based inference on single-index models for motor insurance claim severity. Sort (Statistics and Operations Research Transactions). 2024. Vol. 48, num. 235-258. ISSN 1696-2281. [consulted: 7 of October of 2026]. Available at: https://hdl.handle.net/2445/221797