Premium Calculation in a Heterogeneous Portfolio of Policies

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F10%3A39882059" target="_blank" >RIV/00216275:25410/10:39882059 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Premium Calculation in a Heterogeneous Portfolio of Policies
Original language description
The calculation of fair premiums is the main actuarial problem in insurance business. We assume a heterogeneous portfolio of policies such a motor insurance portfolio. The concept of a mixture distribution will be convenient to use and show that the Poisson model for the number of claims and the gamma distribution for the modelling insurance losses are useful in such case. For a high-volume class of business such as private motor insurance, which has well established rating factors, one of the most common pricing techniques used is generalized linear modelling. This paper deal with technical aspects of this approach and presents its application for estimating the net premiums according the rating factors across a group of policyholders.
Czech name
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Czech description
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Type
J<sub>x</sub> - 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/GA402%2F09%2F1866" target="_blank" >GA402/09/1866: Modelling, Simulations and Management of Insurance Risks</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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