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Ratemaking Of Dependent Risks

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  • Andrade e Silva, J. M.
  • Centeno, M. de Lourdes

Abstract

We start by describing how, in some cases, we can use variance-related premium principles in ratemaking, when the claim numbers and individual claim amounts are independent. We use quasi-likelihood generalized linear models, under the assumption that the variance function is a power function of the mean of the underlying random variable. We extend this approach to the cases where the claim numbers are correlated. Some alternatives to deal with dependent risks are presented, taking explicitly into account overdispersion. We present regression models covering the bivariate Poisson, the generalized bivariate negative binomial and the bivariate Poisson–Laguerre polynomial, which nest the bivariate negative binomial. We apply these models to a portfolio of the Portuguese insurance company Tranquilidade and compare the results obtained.

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  • Andrade e Silva, J. M. & Centeno, M. de Lourdes, 2017. "Ratemaking Of Dependent Risks," ASTIN Bulletin, Cambridge University Press, vol. 47(3), pages 875-894, September.
    • Handle: RePEc:cup:astinb:v:47:y:2017:i:03:p:875-894_00
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    Cited by:

    1. Nazarova, Karina & Bezverkhyi, Kostiantyn & Hordopolov, Volodymyr & Melnyk, Tetiana & Poddubna, Natalіia, 2021. "Risk analysis of companies’ activities on the basis of non-financial and financial statements," Agricultural and Resource Economics: International Scientific E-Journal, Agricultural and Resource Economics: International Scientific E-Journal, vol. 7(4), December.

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