Mean and dispersion modelling for policy claims costs

Gillian Heller, D. Mikis Stasinopoulos, Robert Rigby and Piet De Jong

Scandinavian Actuarial Journal, 2007, vol. 2007, issue 4, 281-292

Abstract: A model for the statistical analysis of the total amount of insurance paid out on a policy is developed and applied. The model simultaneously deals with the number of claims (zero or more) and the amount of each claim. The number of claims is from a Poisson-based discrete distribution. Individual claim sizes are from a continuous right skewed distribution. The resulting distribution of total claim size is a mixed discrete-continuous model, with positive probability of a zero claim. The means and dispersions of the claim frequency and claim size distribution are modeled in terms of risk factors. The model is applied to a car insurance data set.

Date: 2007
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DOI: 10.1080/03461230701553983

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