Some Generalized Linear Models for the Estimation of the Mean Frequency of Claims in Motor Insurance

Mihaela Covrig () and Dumitru Badea
Additional contact information
Mihaela Covrig: The Bucharest University of Economic Studies
Dumitru Badea: The Bucharest University of Economic Studies

ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2017, vol. 51, issue 4, 91-107

Abstract: One of the most important problems that a non-life actuary faces is constructing a fair pricing. In particular, claim counts modeling is one of the components of motor insurance ratemaking. This paper aims to describe the econometric modeling of the mean frequency of claims in a motor insurance portfolio using generalized linear models. The main frequency distributions of count data are presented together with the generalized linear models. Numerical illustration presents and compares the different proposed regression models, using annual CASCO insurance data from a Romanian insurance company. The main findings are that the Negative Binomial regression model performs better than the Poisson model and quantifies overdispersion. The figures, the estimations and the tests are done in the open source soft R.

Keywords: claim counts modeling; count data; motor insurance; GLM; R. (search for similar items in EconPapers)
JEL-codes: C51 C52 C89 G22 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
ftp://www.eadr.ro/RePEc/cys/ecocyb_pdf/ecocyb4_2017p91-107.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cys:ecocyb:v:50:y:2017:i:4:p:91-107

Access Statistics for this article

ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH is currently edited by Gheorghe RUXANDA

More articles in ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH from Faculty of Economic Cybernetics, Statistics and Informatics Contact information at EDIRC.
Bibliographic data for series maintained by Corina Saman ().