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...
| Authors: | ; |
|---|---|
| Format: | Article |
| Status: | Accepted version |
| Publication date: | 2017 |
| Country: | España |
| Institution: | Universidad de Barcelona |
| Repository: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/106603 |
| Online Access: | https://hdl.handle.net/2445/106603 |
| Access Level: | Open access |
| Keyword: | Models lineals (Estadística) Assegurances d'automòbils Variables (Matemàtica) Anàlisi de regressió Linear models (Statistics) Automobile insurance Variables (Mathematics) Regression analysis |
| _version_ | 1878729137438326784 |
|---|---|
| author | Bermúdez, Lluís |
| author2 | Karlis, Dimitris |
| author2_role | author |
| author_browse | Bermúdez, Lluís Karlis, Dimitris |
| author_facet | Bermúdez, Lluís Karlis, Dimitris |
| author_role | author |
| collection | Dipòsit Digital de la UB |
| 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. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | ES_02294eae2420c28c848588e656e7aeb9 |
| institution | Universidad de Barcelona |
| instname_str | Universidad de Barcelona |
| network_acronym_str | ES |
| network_name_str | España |
| oai_identifier_str | oai:diposit.ub.edu:2445/106603 |
| publishDate | 2017 |
| publishDateSort | 2017 |
| publisher | Taylor and Francis |
| publisherStr | Taylor and Francis |
| reponame_str | Dipòsit Digital de la UB |
| spelling | A posteriori ratemaking using bivariate Poisson models Bermúdez, Lluís Karlis, Dimitris Models lineals (Estadística) Assegurances d'automòbils Variables (Matemàtica) Anàlisi de regressió Linear models (Statistics) Automobile insurance Variables (Mathematics) Regression analysis 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. Taylor and Francis https://hdl.handle.net/2445/106603 |
| 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 |
| status_str | acceptedVersion |
| title | 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_short | A posteriori ratemaking using bivariate Poisson models |
| title_sort | A posteriori ratemaking using bivariate Poisson models |
| topic | Models lineals (Estadística) Assegurances d'automòbils Variables (Matemàtica) Anàlisi de regressió Linear models (Statistics) Automobile insurance Variables (Mathematics) Regression analysis |
| topic_facet | Models lineals (Estadística) Assegurances d'automòbils Variables (Matemàtica) Anàlisi de regressió Linear models (Statistics) Automobile insurance Variables (Mathematics) Regression analysis |
| url | https://hdl.handle.net/2445/106603 |