A Survey of the Individual Claim Size and Other Risk Factors Using Credibility Bonus-Malus Premiums
Emilio Gomez-Deniz, Enrique Calderin-Ojeda
Risks | MDPI AG | Published : 2020
In this paper, a flexible count regression model based on a bivariate compound Poisson distribution is introduced in order to distinguish between different types of claims according to the claim size. Furthermore, it allows us to analyse the factors that affect the number of claims above and below a given claim size threshold in an automobile insurance portfolio. Relevant properties of this model are given. Next, a mixed regression model is derived to compute credibility bonus-malus premiums based on the individual claim size and other risk factors such as gender, type of vehicle, driving area, or age of the vehicle. Results are illustrated by using a well-known automobile insurance portfoli..View full abstract
Awarded by Ministerio de Economia, Industria y Competitividad Agencia Estatal de Investigacion
E.G.D. was partially funded by grant ECO2017-85577-P (Ministerio de Economia, Industria y Competitividad. Agencia Estatal de Investigacion).