Insurance ratemaking using a copula-based multivariate Tweedie model

Peng Shi

Scandinavian Actuarial Journal, 2016, vol. 2016, issue 3, 198-215

Abstract: The Tweedie distribution, featured with a mass probability at zero, is a convenient tool for insurance claims modeling and pure premium determination in general insurance. Motivated by the fact that an insurance policy typically provides multiple types of coverage, we propose a copula-based multivariate Tweedie regression for modeling the semi-continuous claims while accommodating the association among different types. The proposed approach also allows for dispersion modeling, resulting in a multivariate version of the double generalized linear model. We demonstrate the application in insurance ratemaking using a portfolio of policyholders of automobile insurance from the state of Massachusetts in the United States.

Date: 2016
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DOI: 10.1080/03461238.2014.921639

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