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Modeling premiums of non-life insurance companies in India

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  • Kartik Sethi
  • Siddhartha P. Chakrabarty

Abstract

We undertake an empirical analysis for the premium data of non-life insurance companies operating in India, in the paradigm of fitting the data for the parametric distribution of Lognormal and the extreme value based distributions of Generalized Extreme Value and Generalized Pareto. The best fit to the data for ten companies considered, is obtained for the Generalized Extreme Value distribution.

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  • Kartik Sethi & Siddhartha P. Chakrabarty, 2021. "Modeling premiums of non-life insurance companies in India," Papers 2106.02446, arXiv.org.
    • Handle: RePEc:arx:papers:2106.02446
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    References listed on IDEAS

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    1. Sawssen Araichi & Christian de Peretti & Lotfi Belkacem, 2016. "Solvency capital requirement for a temporal dependent losses in insurance," Post-Print hal-02103956, HAL.
    2. Preda, Vasile & Ciumara, Roxana, 2006. "On Composite Models: Weibull-Pareto and Lognormal-Pareto. - A comparative study -," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 3(2), pages 32-46, June.
    3. Ahn, Soohan & Kim, Joseph H.T. & Ramaswami, Vaidyanathan, 2012. "A new class of models for heavy tailed distributions in finance and insurance risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 43-52.
    4. Araichi, Sawssen & Peretti, Christian de & Belkacem, Lotfi, 2016. "Solvency capital requirement for a temporal dependent losses in insurance," Economic Modelling, Elsevier, vol. 58(C), pages 588-598.
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