Joint modeling of claim frequencies and behavioral signals in motor insurance

Alexandre Corradin, Michel Denuit, Marcin Detyniecki, Vincent Grari, Matteo Sammarco and Julien Trufin
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Michel Denuit: Université catholique de Louvain, LIDAM/ISBA, Belgium
Julien Trufin: Université Libre de Bruxelles

No 2022004, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: Telematics devices 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.

Keywords: Risk classification; premium calculation; driving behavior; mixed models; multivariate credibility; panel data (search for similar items in EconPapers)
JEL-codes: C13 C33 C38 (search for similar items in EconPapers)
Pages: 22
Date: 2022-01-01
Note: In: ASTIN Bulletin, 2022, vol. 52(1), p. 33-54
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2022004

DOI: 10.1017/asb.2021.24

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