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Joint modeling of claim frequencies and behavioral signals in motor insurance

Author

Listed:
  • Corradin, Alexandre
  • Denuit, Michel

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

  • Detyniecki, Marcin
  • Grari, Vincent
  • Sammarco, Matteo
  • Trufin, Julien

    (Université Libre de Bruxelles)

Abstract

Telematics devices installed in insured vehicles provide actuaries with new risk factors, such as the time of the day, average speeds, and other driving habits. This paper extends the multivariate mixed model describing the joint dynamics of telematics data and claim frequencies proposed by Denuit et al. (2019a) by allowing for signals with various formats, not necessarily integer-valued, and by replacing the estimation procedure with the Expected Conditional Maximization algorithm. A numerical study performed on a database related to Pay-How-You-Drive, or PHYD motor insurance illustrates the relevance of the proposed approach for practice.

Suggested Citation

  • Corradin, Alexandre & Denuit, Michel & Detyniecki, Marcin & Grari, Vincent & Sammarco, Matteo & Trufin, Julien, 2022. "Joint modeling of claim frequencies and behavioral signals in motor insurance," LIDAM Reprints ISBA 2022004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2022004
    DOI: https://doi.org/10.1017/asb.2021.24
    Note: In: ASTIN Bulletin, 2022, vol. 52(1), p. 33-54
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    Cited by:

    1. Simon, Pierre-Alexandre & Trufin, Julien & Denuit, Michel, 2023. "Bivariate Poisson credibility model and bonus-malus scale for claim and near-claim events," LIDAM Discussion Papers ISBA 2023014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

    More about this item

    Keywords

    Risk classification ; premium calculation ; driving behavior ; mixed models ; multivariate credibility ; panel data;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis

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