Claim severity model for given motor hull insurance portfolio based on the individual rating factors
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086729" target="_blank" >RIV/61989100:27510/13:86086729 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Claim severity model for given motor hull insurance portfolio based on the individual rating factors
Original language description
Modelling of individual insured accident risk is important in terms of insurer?s business policy and risk managing. Firstly, the insurance company may want to differentiate the insurance premium in order to determine fair insurance price and to gain newpolicyholders. Secondly, the insured accident probability is used in order to estimate the insurance risk capital requirement within the concept SOLVENCY II. In addition to that the GLM analysis of given insurance portfolio is in accordance with this concept, determining of the appropriate tariffs is closely related to modelling solvency capital requirements on non-life underwriting risk. The paper is devoted to empirical model for claim severity for given motor hull insurance portfolio over the years 2005-08 in the Czech Republic. Firstly the general exponential dispersion model is presented and then the GLM model under assumption of gamma distribution is derived. Finally, the estimated results are presented and relevant conclusions ar
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Financial Management of Firms and Financial Institutions : 9th international scientific conference : 9th - 10th September 2013, Ostrava, Czech Republic : proceedings. [Part 1-3]
ISBN
978-80-248-3172-5
ISSN
2336-162X
e-ISSN
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Number of pages
8
Pages from-to
1041-1048
Publisher name
VŠB-Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 9, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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