Collective risk model in heterogeneous portfolios of policies

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F16%3A39901859" target="_blank" >RIV/00216275:25410/16:39901859 - isvavai.cz</a>

Result on the web

<a href="https://download.upce.cz/fes/scipap/SciPap_37.pdf" target="_blank" >https://download.upce.cz/fes/scipap/SciPap_37.pdf</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Collective risk model in heterogeneous portfolios of policies

Original language description

The total amount of claims in a particular time period, in actuarial literature named as collective risk, is a quantity of fundamental importance to the proper management of an insurance company. The article aimed to present the possibility and procedure to approximate the collective risk model in a heterogeneous portfolio of policies. The key assumption in all models for aggregate claim amount is that the occurrence of a claim and the amount of a claim can be studied separately. We will show that mixture distributions are convenient as the probability models for claim numbers and for claim amounts in heterogeneous portfolios of policies. We have derived that the negative binomial distribution can be used as a model for claim frequency and the Pareto distribution as a loss distribution model when the portfolios of policies are not homogeneous. The concept of mixture distributions is an important one in insurance, since insurance companies generally deal with heterogeneous risks. The motor compulsory third party liability insurance is an important branch of non-life insurance in many countries; therefore application of the theoretical results is performed on data from this field.

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

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2016

Confidentiality

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

Name of the periodical

Scientific Papers of the University of Pardubice - Series D, Faculty of Economics and Administration

ISSN

1211-555X

e-ISSN

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Volume of the periodical

23

Issue of the periodical within the volume

37

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

12

Pages from-to

131-142

UT code for WoS article

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EID of the result in the Scopus database

2-s2.0-84988517631