Herramientas estadisticas para el estudio de perfiles de riesgo

Eva Boj, M. Mercedes Claramunt Bielsa and Jose Fortiana Gregori
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Jose Fortiana Gregori: Universitat de Barcelona

No 88, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: In this paper it is illustrated, in a practical way, the use of three tools that permit the actuary to define tariff groups and to estimate risk premiums in the class-rating process for non-life insurance. The first is the segmentation analysis (CHAID and XAID) used firstly at 1997 by UNESPA in its common portfolio of automobiles. The second is a stepwise selection process with the distance-based regression model. And the third is a process with the well known generalized linear regression model, which represents the most modern technique in the actuarial bibliography. From the later, if we combine different link functions and error distributions, we can obtain the classical additive and multiplicative models.

JEL-codes: C12 C51 C52 G22 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2002
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