Utilizad este identificador para citar o enlazar este documento: http://hdl.handle.net/2072/13011

A priori ratemaking using bivariate poisson regression models
Bermúdez, Lluís
Xarxa de Referència en Economia Aplicada (XREAP)
In automobile insurance, it is useful to achieve a priori ratemaking by resorting to gene- ralized linear models, and here the Poisson regression model constitutes the most widely accepted basis. However, insurance companies distinguish between claims with or without bodily injuries, or claims with full or partial liability of the insured driver. This paper exa- mines an a priori ratemaking procedure when including two di®erent types of claim. When assuming independence between claim types, the premium can be obtained by summing the premiums for each type of guarantee and is dependent on the rating factors chosen. If the independence assumption is relaxed, then it is unclear as to how the tari® system might be a®ected. In order to answer this question, bivariate Poisson regression models, suitable for paired count data exhibiting correlation, are introduced. It is shown that the usual independence assumption is unrealistic here. These models are applied to an automobile insurance claims database containing 80,994 contracts belonging to a Spanish insurance company. Finally, the consequences for pure and loaded premiums when the independence assumption is relaxed by using a bivariate Poisson regression model are analysed.
2008
311 - Estadística
33 - Economia
Models de poisson
Assegurances
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27 p.
Documento de trabajo
Xarxa de Referència en Economia Aplicada (XREAP)
Reproducció digital del document publicat en format paper
XREAP;2008-09
         

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