A posteriori ratemaking using bivariate Poisson models

Recently, different bivariate Poisson regression models have been used in the actuarial literature to make an a priori ratemaking taking into account the dependence between two types of claims. A natural extension for these models is to consider a posteriori ratemaking (i.e. experience rating models...

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Detalles Bibliográficos
Autores: Bermúdez, Lluís, Karlis, Dimitris
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2017
País:España
Institución:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Repositorio:Recercat. Dipósit de la Recerca de Catalunya
OAI Identifier:oai:recercat.cat:2445/106603
Acceso en línea:https://hdl.handle.net/2445/106603
Access Level:acceso abierto
Palabra clave:Models lineals (Estadística)
Assegurances d'automòbils
Variables (Matemàtica)
Anàlisi de regressió
Linear models (Statistics)
Automobile insurance
Variables (Mathematics)
Regression analysis
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spelling A posteriori ratemaking using bivariate Poisson modelsBermúdez, LluísKarlis, DimitrisModels lineals (Estadística)Assegurances d'automòbilsVariables (Matemàtica)Anàlisi de regressióLinear models (Statistics)Automobile insuranceVariables (Mathematics)Regression analysisRecently, different bivariate Poisson regression models have been used in the actuarial literature to make an a priori ratemaking taking into account the dependence between two types of claims. A natural extension for these models is to consider a posteriori ratemaking (i.e. experience rating models) that also relaxes the independence assumption. We introduce here two bivariate experience rating models that integrate the a priori ratemaking based on the bivariate Poisson regression models, extending the existing literature for the univariate case to the bivariate case. These bivariate experience rating models are applied to an automobile insurance claims data-set to analyse the consequences for posterior premiums when the independence assumption is relaxed. The main finding is that the a posteriori risk factors obtained with the bivariate experience rating models are significantly lower than those factors derived under the independence assumption.Taylor and Francis2017201820172017info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersion11 p.application/pdfhttps://hdl.handle.net/2445/106603Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)reponame:Recercat. Dipósit de la Recerca de Catalunyainstname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)InglésVersió postprint del document publicat a: https://doi.org/10.1080/03461238.2015.1094403Scandinavian Actuarial Journal, 2017, vol. 2017, num. 2, p. 148-158https://doi.org/10.1080/03461238.2015.1094403(c) Taylor and Francis, 2017info:eu-repo/semantics/openAccessoai:recercat.cat:2445/1066032026-05-29T05:05:01Z
dc.title.none.fl_str_mv A posteriori ratemaking using bivariate Poisson models
title A posteriori ratemaking using bivariate Poisson models
spellingShingle A posteriori ratemaking using bivariate Poisson models
Bermúdez, Lluís
Models lineals (Estadística)
Assegurances d'automòbils
Variables (Matemàtica)
Anàlisi de regressió
Linear models (Statistics)
Automobile insurance
Variables (Mathematics)
Regression analysis
title_short A posteriori ratemaking using bivariate Poisson models
title_full A posteriori ratemaking using bivariate Poisson models
title_fullStr A posteriori ratemaking using bivariate Poisson models
title_full_unstemmed A posteriori ratemaking using bivariate Poisson models
title_sort A posteriori ratemaking using bivariate Poisson models
dc.creator.none.fl_str_mv Bermúdez, Lluís
Karlis, Dimitris
author Bermúdez, Lluís
author_facet Bermúdez, Lluís
Karlis, Dimitris
author_role author
author2 Karlis, Dimitris
author2_role author
dc.subject.none.fl_str_mv Models lineals (Estadística)
Assegurances d'automòbils
Variables (Matemàtica)
Anàlisi de regressió
Linear models (Statistics)
Automobile insurance
Variables (Mathematics)
Regression analysis
topic Models lineals (Estadística)
Assegurances d'automòbils
Variables (Matemàtica)
Anàlisi de regressió
Linear models (Statistics)
Automobile insurance
Variables (Mathematics)
Regression analysis
description Recently, different bivariate Poisson regression models have been used in the actuarial literature to make an a priori ratemaking taking into account the dependence between two types of claims. A natural extension for these models is to consider a posteriori ratemaking (i.e. experience rating models) that also relaxes the independence assumption. We introduce here two bivariate experience rating models that integrate the a priori ratemaking based on the bivariate Poisson regression models, extending the existing literature for the univariate case to the bivariate case. These bivariate experience rating models are applied to an automobile insurance claims data-set to analyse the consequences for posterior premiums when the independence assumption is relaxed. The main finding is that the a posteriori risk factors obtained with the bivariate experience rating models are significantly lower than those factors derived under the independence assumption.
publishDate 2017
dc.date.none.fl_str_mv 2017
2017
2017
2018
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/106603
url https://hdl.handle.net/2445/106603
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Versió postprint del document publicat a: https://doi.org/10.1080/03461238.2015.1094403
Scandinavian Actuarial Journal, 2017, vol. 2017, num. 2, p. 148-158
https://doi.org/10.1080/03461238.2015.1094403
dc.rights.none.fl_str_mv (c) Taylor and Francis, 2017
info:eu-repo/semantics/openAccess
rights_invalid_str_mv (c) Taylor and Francis, 2017
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 11 p.
application/pdf
dc.publisher.none.fl_str_mv Taylor and Francis
publisher.none.fl_str_mv Taylor and Francis
dc.source.none.fl_str_mv Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)
reponame:Recercat. Dipósit de la Recerca de Catalunya
instname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
instname_str Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
reponame_str Recercat. Dipósit de la Recerca de Catalunya
collection Recercat. Dipósit de la Recerca de Catalunya
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,81155

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