Optimization Approaches to Multiplicative Tariff of Rates Estimation in Non-Life Insurance
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DOI: 10.1142/S0217595914500328
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References listed on IDEAS
- de Jong,Piet & Heller,Gillian Z., 2008. "Generalized Linear Models for Insurance Data," Cambridge Books, Cambridge University Press, number 9780521879149, October.
- Jean-Philippe Boucher & Michel Denuit & Montserrat Guillén, 2007. "Risk Classification for Claim Counts," North American Actuarial Journal, Taylor & Francis Journals, vol. 11(4), pages 110-131.
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Cited by:
- Nick Georgiopoulos, 2017. "Pricing catastrophe bonds with multistage stochastic programming," Computational Management Science, Springer, vol. 14(3), pages 297-312, July.
- 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.
- Shengkun Xie & Rebecca Luo, 2022. "Measuring Variable Importance in Generalized Linear Models for Modeling Size of Loss Distributions," Mathematics, MDPI, vol. 10(10), pages 1-19, May.
- Ji?í Valecký, 2020. "Note on mismodelling of policyholder?s age in claim frequency model: a matter of gender in vehicle insurance," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 9(1), pages 224-240, June.
- Lukáš Adam & Martin Branda, 2016. "Nonlinear Chance Constrained Problems: Optimality Conditions, Regularization and Solvers," Journal of Optimization Theory and Applications, Springer, vol. 170(2), pages 419-436, August.
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Keywords
Non-life insurance; rate making; generalized linear models; optimization models; stochastic programming; MTPL;All these keywords.
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