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Mean and dispersion modelling for policy claims costs

Author

Listed:
  • Gillian Heller
  • D. Mikis Stasinopoulos
  • Robert Rigby
  • Piet De Jong

Abstract

A model for the statistical analysis of the total amount of insurance paid out on a policy is developed and applied. The model simultaneously deals with the number of claims (zero or more) and the amount of each claim. The number of claims is from a Poisson-based discrete distribution. Individual claim sizes are from a continuous right skewed distribution. The resulting distribution of total claim size is a mixed discrete-continuous model, with positive probability of a zero claim. The means and dispersions of the claim frequency and claim size distribution are modeled in terms of risk factors. The model is applied to a car insurance data set.

Suggested Citation

  • Gillian Heller & D. Mikis Stasinopoulos & Robert Rigby & Piet De Jong, 2007. "Mean and dispersion modelling for policy claims costs," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2007(4), pages 281-292.
    • Handle: RePEc:taf:sactxx:v:2007:y:2007:i:4:p:281-292
    DOI: 10.1080/03461230701553983
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    Cited by:

    1. Okhli, Kheirolah & Jabbari Nooghabi, Mehdi, 2023. "On the three-component mixture of exponential distributions: A Bayesian framework to model data with multiple lower and upper outliers," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 208(C), pages 480-500.

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