EconPapers    
Economics at your fingertips  
 

A priori ratemaking using bivariate poisson regression models

Lluis Bermúdez i Morata ()
Additional contact information
Lluis Bermúdez i Morata: RFA-IREA, Universitat de Barcelona.

No XREAP2008-09, Working Papers from Xarxa de Referència en Economia Aplicada (XREAP)

Abstract: In automobile insurance, it is useful to achieve a priori ratemaking by resorting to generalized linear models, and here the Poisson regression model constitutes the most widely accepted basis. However, insurance companies distinguish between claims with or without bodily injuries, or claims with full or partial liability of the insured driver. This paper examines an a priori ratemaking procedure when including two di®erent types of claim. When assuming independence between claim types, the premium can be obtained by summing the premiums for each type of guarantee and is dependent on the rating factors chosen. If the independence assumption is relaxed, then it is unclear as to how the tariff system might be affected. In order to answer this question, bivariate Poisson regression models, suitable for paired count data exhibiting correlation, are introduced. It is shown that the usual independence assumption is unrealistic here. These models are applied to an automobile insurance claims database containing 80,994 contracts belonging to a Spanish insurance company. Finally, the consequences for pure and loaded premiums when the independence assumption is relaxed by using a bivariate Poisson regression model are analysed.

Pages: 27 pages
Date: 2008-07, Revised 2008-07
New Economics Papers: this item is included in nep-ias
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.xreap.cat/RePEc/xrp/pdf/XREAP2008-09.pdf First version, 2008 (application/pdf)
http://www.xreap.cat/RePEc/xrp/pdf/XREAP2008-09.pdf Revised version, 2008 (application/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:xrp:wpaper:xreap2008-09

Access Statistics for this paper

More papers in Working Papers from Xarxa de Referència en Economia Aplicada (XREAP) Contact information at EDIRC.
Bibliographic data for series maintained by XREAP ( this e-mail address is bad, please contact ).

 
Page updated 2024-04-17
Handle: RePEc:xrp:wpaper:xreap2008-09