Actuarial Modelling of Claim Counts: Risk Classification, by Michel Denuit, Xavier Marechal, Sandra Pitrebois,

By Michel Denuit, Xavier Marechal, Sandra Pitrebois, Jean-Francois Walhin

There are quite a lot of variables for actuaries to contemplate whilst calculating a motorist’s assurance top rate, comparable to age, gender and sort of auto. additional to those components, motorists’ premiums are topic to adventure score structures, together with credibility mechanisms and Bonus Malus structures (BMSs).

Actuarial Modelling of declare Counts offers a entire remedy of many of the event ranking structures and their relationships with chance type. The authors summarize the latest advancements within the box, offering ratemaking structures, while making an allowance for exogenous information.

The text:

  • Offers the 1st self-contained, sensible method of a priori and a posteriori ratemaking in motor insurance.
  • Discusses the problems of declare frequency and declare severity, multi-event platforms, and the mixtures of deductibles and BMSs.
  • Introduces contemporary advancements in actuarial technology and exploits the generalised linear version and generalised linear combined version to accomplish danger classification.
  • Presents credibility mechanisms as refinements of business BMSs.
  • Provides functional functions with actual info units processed with SAS software.

Actuarial Modelling of declare Counts is vital studying for college kids in actuarial technological know-how, in addition to practising and educational actuaries. it's also very best for pros occupied with the assurance undefined, utilized mathematicians, quantitative economists, monetary engineers and statisticians.

Show description

By Michel Denuit, Xavier Marechal, Sandra Pitrebois, Jean-Francois Walhin

There are quite a lot of variables for actuaries to contemplate whilst calculating a motorist’s assurance top rate, comparable to age, gender and sort of auto. additional to those components, motorists’ premiums are topic to adventure score structures, together with credibility mechanisms and Bonus Malus structures (BMSs).

Actuarial Modelling of declare Counts offers a entire remedy of many of the event ranking structures and their relationships with chance type. The authors summarize the latest advancements within the box, offering ratemaking structures, while making an allowance for exogenous information.

The text:

  • Offers the 1st self-contained, sensible method of a priori and a posteriori ratemaking in motor insurance.
  • Discusses the problems of declare frequency and declare severity, multi-event platforms, and the mixtures of deductibles and BMSs.
  • Introduces contemporary advancements in actuarial technology and exploits the generalised linear version and generalised linear combined version to accomplish danger classification.
  • Presents credibility mechanisms as refinements of business BMSs.
  • Provides functional functions with actual info units processed with SAS software.

Actuarial Modelling of declare Counts is vital studying for college kids in actuarial technological know-how, in addition to practising and educational actuaries. it's also very best for pros occupied with the assurance undefined, utilized mathematicians, quantitative economists, monetary engineers and statisticians.

Show description

Read or Download Actuarial Modelling of Claim Counts: Risk Classification, Credibility and Bonus-Malus Systems PDF

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Additional resources for Actuarial Modelling of Claim Counts: Risk Classification, Credibility and Bonus-Malus Systems

Sample text

Still belong to ). Technically speaking, this will be the case if is a sigma-algebra. Recall that a family of subsets of the universe is called a sigma-algebra if it fulfills the three following properties: (i) ∈ , (ii) A ∈ ⇒ A ∈ , and (iii) A1 A2 A3 ∈ ⇒ i≥1 Ai ∈ . The three properties (i)-(iii) are very natural. Indeed, (i) means that itself is an event (it is the event which is always realized). Property (ii) means that if A is an event, the complement of A is also an event. Finally, property (iii) means that the event consisting in the realization of at least one of the Ai s is also an event.

Given , N is Poisson distributed with mean so that E N = . The mean of N is finally obtained by averaging E N with respect to . 28) is thus the same as the expectation of a oi distributed random variable. Taking the heterogeneity into account by switching from the oi to the oi distribution has no effect on the expected claim number. 3 Mixed Poisson Process The Poisson processes are suitable models for many real counting phenomena but they are insufficient in some cases because of the deterministic character of their intensity function.

It also has many practical applications. The Poisson distribution describes events that occur randomly and independently in space or time. A classic example in physics is the number of radioactive particles recorded by a Geiger counter in a fixed time interval. This property of the Poisson distribution means that it can act as a reference standard when deviations from pure randomness are suspected. Although the Poisson distribution is often called the law of small numbers, there is no need Actuarial Modelling of Claim Counts 16 for = nq to be small.

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