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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/GP13-03749P" target="_blank" >GP13-03749P: Testy eficience investičních příležitostí</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název periodika

Asia-Pacific Journal of Operational Research

ISSN

0217-5959

e-ISSN

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Svazek periodika

31

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

SG - Singapurská republika

Počet stran výsledku

17

Strana od-do

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Kód UT WoS článku

000344251500002

EID výsledku v databázi Scopus

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