Ratemaking of dependent risks

Detalhes bibliográficos
Autor(a) principal: Silva, João Andrade e
Data de Publicação: 2017
Outros Autores: Centeno, Maria de Lourdes
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27629
Resumo: We start by describing how, in some cases, we can use variance-related premium principles in ratemaking, when the claim numbers and individual claim amounts are independent. We use quasi-likelihood generalized linear models, under the assumption that the variance function is a power function of the mean of the underlying random variable. We extend this approach to the cases where the claim numbers are correlated. Some alternatives to deal with dependent risks are presented, taking explicitly into account overdispersion. We present regression models covering the bivariate Poisson, the generalized bivariate negative binomial and the bivariate Poisson–Laguerre polynomial, which nest the bivariate negative binomial. We apply these models to a portfolio of the Portuguese insurance company Tranquilidade and compare the results obtained.
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spelling Ratemaking of dependent risksRatemakingVariance-related Premium PrinciplesGeneralized Linear ModelsQuasi-likelihoodBivariate DistributionsWe start by describing how, in some cases, we can use variance-related premium principles in ratemaking, when the claim numbers and individual claim amounts are independent. We use quasi-likelihood generalized linear models, under the assumption that the variance function is a power function of the mean of the underlying random variable. We extend this approach to the cases where the claim numbers are correlated. Some alternatives to deal with dependent risks are presented, taking explicitly into account overdispersion. We present regression models covering the bivariate Poisson, the generalized bivariate negative binomial and the bivariate Poisson–Laguerre polynomial, which nest the bivariate negative binomial. We apply these models to a portfolio of the Portuguese insurance company Tranquilidade and compare the results obtained.Cambridge University PressRepositório da Universidade de LisboaSilva, João Andrade eCenteno, Maria de Lourdes2023-04-14T14:46:28Z20172017-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27629engSilva, João Andrade e; and Maria de Lourdes Centeno (2017). “Ratemaking of dependent risks”. ASTIN Bulletin, Vol. 47, No. 3: pp. 875-894. (Search PDF in 2022)doi.org/10.1017/asb.2017.16info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-16T01:30:44Zoai:www.repository.utl.pt:10400.5/27629Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:49:33.137120Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Ratemaking of dependent risks
title Ratemaking of dependent risks
spellingShingle Ratemaking of dependent risks
Silva, João Andrade e
Ratemaking
Variance-related Premium Principles
Generalized Linear Models
Quasi-likelihood
Bivariate Distributions
title_short Ratemaking of dependent risks
title_full Ratemaking of dependent risks
title_fullStr Ratemaking of dependent risks
title_full_unstemmed Ratemaking of dependent risks
title_sort Ratemaking of dependent risks
author Silva, João Andrade e
author_facet Silva, João Andrade e
Centeno, Maria de Lourdes
author_role author
author2 Centeno, Maria de Lourdes
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Silva, João Andrade e
Centeno, Maria de Lourdes
dc.subject.por.fl_str_mv Ratemaking
Variance-related Premium Principles
Generalized Linear Models
Quasi-likelihood
Bivariate Distributions
topic Ratemaking
Variance-related Premium Principles
Generalized Linear Models
Quasi-likelihood
Bivariate Distributions
description We start by describing how, in some cases, we can use variance-related premium principles in ratemaking, when the claim numbers and individual claim amounts are independent. We use quasi-likelihood generalized linear models, under the assumption that the variance function is a power function of the mean of the underlying random variable. We extend this approach to the cases where the claim numbers are correlated. Some alternatives to deal with dependent risks are presented, taking explicitly into account overdispersion. We present regression models covering the bivariate Poisson, the generalized bivariate negative binomial and the bivariate Poisson–Laguerre polynomial, which nest the bivariate negative binomial. We apply these models to a portfolio of the Portuguese insurance company Tranquilidade and compare the results obtained.
publishDate 2017
dc.date.none.fl_str_mv 2017
2017-01-01T00:00:00Z
2023-04-14T14:46:28Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27629
url http://hdl.handle.net/10400.5/27629
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Silva, João Andrade e; and Maria de Lourdes Centeno (2017). “Ratemaking of dependent risks”. ASTIN Bulletin, Vol. 47, No. 3: pp. 875-894. (Search PDF in 2022)
doi.org/10.1017/asb.2017.16
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Cambridge University Press
publisher.none.fl_str_mv Cambridge University Press
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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