Ratemaking of dependent risks
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | |
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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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 instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131576297062400 |