Claim severity model for given motor hull insurance portfolio based on the individual rating factors

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Claim severity model for given motor hull insurance portfolio based on the individual rating factors

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 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

Název v anglickém jazyce

Claim severity model for given motor hull insurance portfolio based on the individual rating factors

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 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

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

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

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

8

Strana od-do

1041-1048

Název nakladatele

VŠB-Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

9. 9. 2013

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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