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Modelling the Claims Process in the Presence of Covariates

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  • Renshaw, Arthur E.

Abstract

An overview of the potential of Generalized Linear Models as a means of modelling the salient features of the claims process in the presence of rating factors is presented. Specific attention is focused on the rich variety of modelling distributions which can be implemented in this context.

Suggested Citation

  • Renshaw, Arthur E., 1994. "Modelling the Claims Process in the Presence of Covariates," ASTIN Bulletin, Cambridge University Press, vol. 24(2), pages 265-285, November.
    • Handle: RePEc:cup:astinb:v:24:y:1994:i:02:p:265-285_00
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    Citations

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    Cited by:

    1. Sarabia, José María & Guillén, Montserrat, 2008. "Joint modelling of the total amount and the number of claims by conditionals," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 466-473, December.
    2. Pierre-Olivier Goffard & Patrick Laub, 2021. "Approximate Bayesian Computations to fit and compare insurance loss models," Post-Print hal-02891046, HAL.
    3. Azaare Jacob & Zhao Wu, 2020. "An Alternative Pricing System through Bayesian Estimates and Method of Moments in a Bonus-Malus Framework for the Ghanaian Auto Insurance Market," JRFM, MDPI, vol. 13(7), pages 1-15, July.
    4. Omerašević Amela & Selimović Jasmina, 2020. "Classification Ratemaking Using Decision Tree in the Insurance Market of Bosnia and Herzegovina," South East European Journal of Economics and Business, Sciendo, vol. 15(2), pages 124-139, December.
    5. Yip, Karen C.H. & Yau, Kelvin K.W., 2005. "On modeling claim frequency data in general insurance with extra zeros," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 153-163, April.
    6. Goffard, Pierre-Olivier & Laub, Patrick J., 2021. "Approximate Bayesian Computations to fit and compare insurance loss models," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 350-371.
    7. Sarra Ghaddab & Manel Kacem & Christian Peretti & Lotfi Belkacem, 2023. "Extreme severity modeling using a GLM-GPD combination: application to an excess of loss reinsurance treaty," Empirical Economics, Springer, vol. 65(3), pages 1105-1127, September.
    8. Jiří Valecký, 2016. "Modelling Claim Frequency in Vehicle Insurance," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(2), pages 683-689.
    9. Jiří Valecký, 2017. "Calculation of Solvency Capital Requirements for Non-life Underwriting Risk Using Generalized Linear Models," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(4), pages 450-466.
    10. Amela Omeraševiæ & Jasmina Selimoviæ, 2020. "Risk factors selection with data mining methods for insurance premium ratemaking," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 38(2), pages 667-696.
    11. Natacha Brouhns & Montserrat Guillén & Michel Denuit & Jean Pinquet, 2003. "Bonus‐Malus Scales in Segmented Tariffs With Stochastic Migration Between Segments," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 577-599, December.
    12. Kelvin Yau & Karen Yip & H. K. Yuen, 2003. "Modelling repeated insurance claim frequency data using the generalized linear mixed model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(8), pages 857-865.
    13. Garrido, J. & Genest, C. & Schulz, J., 2016. "Generalized linear models for dependent frequency and severity of insurance claims," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 205-215.
    14. Jiří Valecký, . "Calculation of Solvency Capital Requirements for Non-life Underwriting Risk Using Generalized Linear Models," Prague Economic Papers, University of Economics, Prague, vol. 0, pages 1-17.

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