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Bonus-Malus premiums under the dependent frequency-severity modeling
Scandinavian Actuarial Journal ( IF 1.8 ) Pub Date : 2019-08-15 , DOI: 10.1080/03461238.2019.1655477
Rosy Oh 1 , Peng Shi 2 , Jae Youn Ahn 1
Affiliation  

ABSTRACT A Bonus-Malus System (BMS) in insurance is a premium adjustment mechanism widely used in a posteriori ratemaking process to set the premium for the next contract period based on a policyholder's claim history. The current practice in BMS implementation relies on the assumption of independence between claim frequency and severity, despite the fact that a series of recent studies report evidence of a significant frequency-severity relationship, particularly in automobile insurance. To address this discrepancy, we propose a copula-based correlated random effects model to accommodate the dependence between claim frequency and severity, and further illustrate how to incorporate such dependence into the current BMS. We derive analytical solutions to the optimal relativities under the proposed framework and provide numerical experiments based on real data analysis to assess the effect of frequency-severity dependence in BMS ratemaking.

中文翻译:

相关频率-严重性模型下的 Bonus-Malus 保费

摘要 保险中的 Bonus-Malus 系统 (BMS) 是一种保费调整机制,广泛用于后验费率制定过程,以根据保单持有人的索赔历史设定下一个合同期的保费。BMS 实施的当前实践依赖于索赔频率和严重程度之间独立的假设,尽管最近的一系列研究报告了显着频率 - 严重程度关系的证据,特别是在汽车保险中。为了解决这种差异,我们提出了一个基于 copula 的相关随机效应模型来适应索赔频率和严重程度之间的依赖关系,并进一步说明如何将这种依赖关系纳入当前的 BMS。
更新日期:2019-08-15
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