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Zastosowanie modeli ZINB GLMM z efektem losowym agenta w taryfikacji ubezpieczeń majątkowych

Author

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  • Norbert Paska

    (Szkoła Główna Handlowa w Warszawie, Kolegium Analiz Ekonomicznych)

Abstract

W artykule przestawiono tematykę dotyczącą aktuarialnej analizy częstości szkód przy wykorzystaniu uogólnionych liniowych modeli mieszanych wraz z modelami z nadwyżką zer. Dodatkowo rozważano zastosowanie w owych modelach rozkładu ujemnego dwumianowego w celu wyeliminowania problemu nadmiernego rozproszenia. Badanie oparto na danych panelowych obejmujących dane tych samych pojazdów w kolejnych okresach po zawarciu rocznych polis komunikacyjnych. Szeroko opisano pojęcie efektu losowego oraz wykazano możliwość użycia w tej funkcji agenta ubezpieczeniowego. Wszystkie modele zawierały paręnaście zmiennych występujących jako efekty stałe oraz jedną zmienną jako efekt losowy. Finalnie porównano wyniki zastosowania modeli GLM, ZI GLM, GLMM, ZI GLMM z rozkładem Poissona oraz rozkładem ujemnym dwumianowym oraz dokonano wyboru modelu, który potrafi najadekwatniej do ryzyka odwzorować prawdopodobieństwo wystąpienia szkody.

Suggested Citation

  • Norbert Paska, 2018. "Zastosowanie modeli ZINB GLMM z efektem losowym agenta w taryfikacji ubezpieczeń majątkowych," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 53, pages 63-76.
    • Handle: RePEc:sgh:annals:i:53:y:2018:p:63-76
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    uogólnione liniowe modele mieszane; ZINB; agent ubezpieczeniowy; efekty losowe; ubezpieczenia komunikacyjne; taryfikacja;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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