JOINT MODELING OF CLAIM FREQUENCIES AND BEHAVIORAL SIGNALS IN MOTOR INSURANCE

Alexandre Corradin, Michel Denuit, Marcin Detyniecki, Vincent Grari, Matteo Sammarco and Julien Trufin

ASTIN Bulletin, 2022, vol. 52, issue 1, 33-54

Abstract: Telematicsdevices installed in insured vehicles provide actuaries with new risk factors, such as the time of the day, average speeds, and other driving habits. This paper extends the multivariate mixed model describing the joint dynamics of telematics data and claim frequencies proposed by Denuit et al. (2019a) by allowing for signals with various formats, not necessarily integer-valued, and by replacing the estimation procedure with the Expected Conditional Maximization algorithm. A numerical study performed on a database related to Pay-How-You-Drive, or PHYD motor insurance illustrates the relevance of the proposed approach for practice.

Date: 2022
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