Hostname: page-component-cd9895bd7-dk4vv Total loading time: 0 Render date: 2024-12-26T14:36:04.754Z Has data issue: false hasContentIssue false
  • English
  • Français

Modelling the Claims Process in the Presence of Covariates

Published online by Cambridge University Press:  29 August 2014

Arthur E. Renshaw
Arthur E. Renshaw*
Affiliation:
Department of Actuarial Science & Statistics, The City University, London
*
Department of Actuarial Science & Statistics, The City University, London.
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

An overview of the potential of Generalized Linear Models as a means of modelling the salient features of the claims process in the presence of rating factors is presented. Specific attention is focused on the rich variety of modelling distributions which can be implemented in this context.

Keywords

Claims ProcessRating FactorsGeneralized Linear ModelsQuasi-LikelihoodExtended Quasi-Likelihood
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 24 , Issue 2 , November 1994 , pp. 265 - 285
Copyright
Copyright © International Actuarial Association 1994

References

Andrade e Silva, J. M. (1989) An application of Generalized Linear Models to Portuguese Motor Insurance. Proceedings XXI ASTIN Colloquium, New York, 633.Google Scholar
Baker, R.J. and Nelder, J.A. (1985) The GLIM System, Release 3.77, Generalized Linear Interactive Modelling Manual. Oxford: Numerical Algorithms Group.Google Scholar
Baxter, L. A., Coutts, S.M. and Ross, G.A.F. (1979) Applications of Linear Models in Motor Insurance. 21st International Congres oj Actuaries 2, 11.Google Scholar
Beireant, J., Derveaux, V., De Meyer, A.M., Goovaerts, M.J., Labie, E. and Maenhoudt, B. (1991) Statistical Risk Evaluation Applied to (Belgian) Car Insurance. Insurance: Mathematics and Economics 10, 289.Google Scholar
Berg, M.P. and Haberman, S. (1992) Trend Analysis and Prediction Procedure for Time Nonhomogeneous Claim Process. Submitted.Google Scholar
Besson, J.-L. and Partrat, Ch. (1992) Trend et Systèmes de Bonus-Malus. ASTIN Bulletin 22, 11.CrossRefGoogle Scholar
Boskov, M. (1992) Private communications.Google Scholar
Brockman, M.J. and Wright, T. S. (1992) Statistical Motor Rating: Making Effective use of Your Data. J.I.A. 119, 457.Google Scholar
Centeno, L. and Andrade e Silva, J.M. (1991) Generalized Linear Models under Constraints. Proceedings XXIII ASTIN Colloquium, Stockholm.Google Scholar
Coutts, S.M. (1984) Motor Insurance Rating, An Actuarial Approach. J.I.A. 111, 87.Google Scholar
Eation, M.L., Morris, C. and Rubin, H. (1971) On Extreme Stable Laws and Some Applications. J. Appl. Prob. 8, 794.CrossRefGoogle Scholar
Haberman, S. and Renshaw, A.E. (1989) Fitting Loss Distributions using Generalized Linear Models. Proceedings XXI ASTIN Colloquium, New York, 149.Google Scholar
Hogg, R.V. and Klugman, S.A. (1984) Loss Distributions. John Wiley & Sons.Google Scholar
Jorgensen, B. (1987) Exponential Dispersion Models (with discussion). J. R. Statist. Soc. B 49, 127.Google Scholar
Mack, T. (1991) A Simple Parameteric model for Rating Automobile Insurance or Estimating IBNR Claims Reserves. ASTIN Bulletin 22, 93.CrossRefGoogle Scholar
McCullagh, P. and Nelder, J. A. (1983, 1989) Generalized Linear Models. Chapman & Hall.Google Scholar
Renshaw, A.E. (1990) Graduation by Generalized Linear Modelling Techniques. Proceedings XXII ASTIN Colloquium, Montreux.Google Scholar
Renshaw, A.E. (1991) Actuarial Graduation Practice and Generalized Linear & Non-Linear Models. J.I.A. 118, 295.Google Scholar
Renshaw, A.E. (1992) Joint Modelling for Actuarial Graduation and Duplicate Policies. J.I.A. 119, 69.Google Scholar
Renshaw, A.E. (1993) An Application of Exponential Dispersion Models to Premium Rating. ASTIN Bulletin 23, 145.CrossRefGoogle Scholar
Renshaw, A.E. and Haberman, S. (1992) Graduations Associated with a Multiple State Model for Permanent Health Insurance. Under review.Google Scholar
Stroinski, K.J. and Currie, I.D. (1989) Selection of Variables for Automobile Insurance Rating. Insurance: Mathematics and Economics 8, 35.Google Scholar
Tremblay, L. (1992) Using the Poisson Inverse Gauassian in Bonus-Malus Systems. ASTIN Bulletin 22, 97.CrossRefGoogle Scholar