Modeling of individual insured accident risk for given motor-hull insurance portfolio

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86082692" target="_blank" >RIV/61989100:27510/12:86082692 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Modeling of individual insured accident risk for given motor-hull insurance portfolio

Popis výsledku v původním jazyce

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 more fair insurance price and to gainnew policyholders. Secondly, the insured accident probability is used in order to estimate the insurance risk capital requirement within the SOLVENCY II. The paper is devoted to developing of a preliminary statistical count model appropriate to the modelling of insured accident probability for given motor-hull insurance portfolio in the Czech Republic. Firstly, the Poisson model is considered and because of the fact that the data violates the variance assumption, we turn to the negative-binomial model.To deal with the misspecified link function, we employ the fractional polynomials and finally, all models are compared by some statistical tests and by residual analysis.

Název v anglickém jazyce

Modeling of individual insured accident risk for given motor-hull insurance portfolio

Popis výsledku anglicky

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 more fair insurance price and to gainnew policyholders. Secondly, the insured accident probability is used in order to estimate the insurance risk capital requirement within the SOLVENCY II. The paper is devoted to developing of a preliminary statistical count model appropriate to the modelling of insured accident probability for given motor-hull insurance portfolio in the Czech Republic. Firstly, the Poisson model is considered and because of the fact that the data violates the variance assumption, we turn to the negative-binomial model.To deal with the misspecified link function, we employ the fractional polynomials and finally, all models are compared by some statistical tests and by residual analysis.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GPP403%2F12%2FP692" target="_blank" >GPP403/12/P692: Řízení a modelování pojistných rizik v rámci Solvency II</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název statě ve sborníku

6th International Days of Statistics and Economics [Prague, Czech Republic, 2012]

ISBN

978-80-86175-86-7

ISSN

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e-ISSN

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Počet stran výsledku

9

Strana od-do

1-9

Název nakladatele

Melandrium

Místo vydání

Slaný

Místo konání akce

Praha

Datum konání akce

13. 9. 2012

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000320722500107