C. Bolancé Losilla, R. Vernic, R. Alemany Leira
In the classical collective model the random variable frequency is assumed to be independent of the random claim amounts. In practice, however, this independence assumption is often violated. In this paper, we analyze auto and home insurance claims. To model dependence in each insurance line, we assume that each random vector of frequency and severity follows a bivariate Sarmanov distribution. We present some properties of the resulting compound model and emphasize some particular cases. Furthermore, we analyze the dependence between both lines using a multivariate model with four distinct variables: two frequencies and two severities. We also aim to include covariates and use Generalised Linear Models (GLM) for marginals.
The maximum likelihood estimation of the parameters is also discussed. To illustrate the proposed models, we use a real data set of auto and home policies. Finally, effects on the premium are analyzed and new insurance pricing strategies are proposed.
Palabras clave: frequency-severity dependence, risk of claims, Sarnanov multivariate model, marginal GLMs
Programado
GT15-2 Análisis de Riesgos
6 de septiembre de 2019 11:20
I3L8. Edificio Georgina Blanes