Claim frequency models in vehicle insurance based on GLM

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F18%3A10240119" target="_blank" >RIV/61989100:27510/18:10240119 - isvavai.cz</a>

Result on the web

<a href="https://mme2018.fm.vse.cz/wp-content/uploads/2018/09/MME2018-Electronic_proceedings.pdf" target="_blank" >https://mme2018.fm.vse.cz/wp-content/uploads/2018/09/MME2018-Electronic_proceedings.pdf</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Claim frequency models in vehicle insurance based on GLM

Original language description

Within non-life insurance pricing determinated by insurance premium precedes and essential part represented models of claim frequency and claim severity. Theese models are usually modelling by generalized linear models. This paper is focused on estimation of claim frequency and extends the work ŠPAČKOVÁ, Adéla. Estimation of claim frequency by generalized linear models, 2017, s. 821 - 830. ISBN 978-80-248-4138-0. Regression analysis allows the identification of the risk factors and the prediction of the expected frequency of claims given the characteristics of policyholders. It depends on many individual rating factors (e.g. based on individual characteristics of vehicle and driver). The aim of this paper is to find out ideally suited model for estimation claim frequency based on these risk factors. All empirical models are estimated on the real world sample data of czech insurance company collected during the years 2005 - 2010. Parameters of model are estimated by maximum likelihood method at standard level of significant 0,05. Verification of the model parameters is perfomed by a Wald test. Comparison models with different predictor variables is established by analysis of deviance residuals, Akaike information criterion (AIC) and Bayesian information criterion (BIC). Based on these comparison the ideally suited model is choosen. All calculations are computed in statistical software STATA 14.00.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

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OECD FORD branch

50206 - Finance

Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2018

Confidentiality

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

Article name in the collection

Mathematical Methods in Economics : MME 2018 : 36th international conference : September 12-14, 2018, Jindřichův Hradec

ISBN

978-80-7378-371-6

ISSN

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e-ISSN

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Number of pages

6

Pages from-to

555-560

Publisher name

MATFYZPRESS

Place of publication

Praha

Event location

Jindřichův Hradec

Event date

Sep 12, 2018

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

000507455300096