Optimization approaches to multiplicative tariff of rates estimation in non-life insurance

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F14%3A10281172" target="_blank" >RIV/00216208:11320/14:10281172 - isvavai.cz</a>

Result on the web

<a href="http://www.worldscientific.com/doi/abs/10.1142/S0217595914500328" target="_blank" >http://www.worldscientific.com/doi/abs/10.1142/S0217595914500328</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1142/S0217595914500328" target="_blank" >10.1142/S0217595914500328</a>

Result language

angličtina

Original language name

Optimization approaches to multiplicative tariff of rates estimation in non-life insurance

Original language description

We focus on rating of non-life insurance contracts. We employ multiplicative models with basic premium levels and specific surcharge coefficients for various levels of selected risk/rating factors. We use generalized linear models (GLM) to describe the probability distribution of total losses for a contract during one year. We show that the traditional frequency-severity approaches based only on GLM with logarithmic link function can lead to estimates which do not fulfill business requirements. For example, a maximal surcharge and monotonicity of coefficient can be desirable. Moreover, our approach can handle total losses, which are based on arbitrary loss distributions, possibly decomposed into several classes, e.g., small and large or property and bodily injury. Various costs and loadings can be also incorporated into the tariff rates. We propose optimization problems for rate estimation which enable hedging against expected losses and taking into account a prescribed loss ratio and

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

<a href="/en/project/GP13-03749P" target="_blank" >GP13-03749P: Efficiency tests for investment opportunities</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2014

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Asia-Pacific Journal of Operational Research

ISSN

0217-5959

e-ISSN

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Volume of the periodical

31

Issue of the periodical within the volume

5

Country of publishing house

SG - SINGAPORE

Number of pages

17

Pages from-to

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UT code for WoS article

000344251500002

EID of the result in the Scopus database

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