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A TMB Approach to Study Spatial Variation in Weather-Generated Claims in Insurance

Author

Listed:
  • Ingrid Sandvig Thorsen

    (University of Bergen)

  • Bård Støve

    (University of Bergen)

  • Hans J. Skaug

    (University of Bergen)

Abstract

In this paper, we use TMB to study spatial variation in weather-generated claims in insurance. Our motivation is twofold. By comparing with INLA, we first find that TMB is a robust and efficient approach to deal with spatial variation of covariates and the dependent variable in a case with sparse data. Second, we demonstrate how examining the spatial pattern of random effects may offer auspicious suggestions for model extensions, represented by added covariates accounting for relevant spatial characteristics. Both the approach and the results represent useful input in reaching an efficient spatial diversification of premium rates in non-life insurance.

Suggested Citation

  • Ingrid Sandvig Thorsen & Bård Støve & Hans J. Skaug, 2023. "A TMB Approach to Study Spatial Variation in Weather-Generated Claims in Insurance," SN Operations Research Forum, Springer, vol. 4(4), pages 1-27, December.
    • Handle: RePEc:spr:snopef:v:4:y:2023:i:4:d:10.1007_s43069-023-00250-3
    DOI: 10.1007/s43069-023-00250-3
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    References listed on IDEAS

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    1. Susanne Gschlößl & Claudia Czado, 2007. "Spatial modelling of claim frequency and claim size in non-life insurance," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2007(3), pages 202-225.
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