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

ISBN-10: 0470026774

ISBN-13: 9780470026779

There are a variety of variables for actuaries to think about while calculating a motorist’s assurance top rate, resembling age, gender and kind of auto. extra to those elements, motorists’ charges are topic to event score platforms, together with credibility mechanisms and Bonus Malus structures (BMSs).

Actuarial Modelling of declare Counts provides a accomplished remedy of many of the event score structures and their relationships with chance type. The authors summarize the latest advancements within the box, providing ratemaking structures, while bearing in mind exogenous information.

The text:

  • Offers the 1st self-contained, useful 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 technological know-how and exploits the generalised linear version and generalised linear combined version to accomplish possibility classification.
  • Presents credibility mechanisms as refinements of business BMSs.
  • Provides sensible purposes with genuine info units processed with SAS software.

Actuarial Modelling of declare Counts is vital interpreting for college kids in actuarial technological know-how, in addition to working towards and educational actuaries. it's also excellent for execs taken with the coverage undefined, utilized mathematicians, quantitative economists, monetary engineers and statisticians.

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

Sample text

In actuarial studies, d is referred to as the exposure-to-risk. We see that d simply multiplies the annual expected claim frequency in the Poisson model. Time Between Accidents The Poisson distribution arises for events occurring randomly and independently in time. the times between two consecutive accidents. Assume further Indeed, denote as T1 T2 that these accidents occur according to a Poisson process with rate . Then, the Tk s are independent and identically distributed and Pr Tk > t = Pr T1 > t = Pr Nt = 0 = exp − t so that T1 T2 have a common Negative Exponential distribution.

If N is Bernoulli distributed with success probability q, which is denoted as N ∼ er q , we have ⎧ ⎪ ⎨ 1 − q if k = 0 p k q = q if k = 1 ⎪ ⎩ 0 otherwise. There is thus just one parameter: the success probability q. 7) The probability generating function is N It is easily seen that N z = 1 − q × z0 + q × z1 = 1 − q + qz 0 = p 0 q and N 0 q = p 1 q , as it should be. 8) Actuarial Modelling of Claim Counts 14 Binomial Distribution The Binomial distribution describes the outcome of a sequence of n independent Bernoulli trials, each with the same probability q of success.

Inverse Gaussian Distribution The Inverse Gaussian distribution is an ideal candidate for modelling positive, right-skewed data. 39) . 40) For the last three decades, the Inverse Gaussian distribution has gained attention in describing and analyzing right-skewed data. The main appeal of Inverse Gaussian models lies in the fact that they can accommodate a variety of shapes, from highly skewed to almost Normal. Moreover, they share many elegant and convenient properties with Gaussian models. In applied probability, the Inverse Gaussian distribution arises as the distribution of the first passage time to an absorbing barrier located at a unit distance from the origin in a Wiener process.

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Actuarial Modelling of Claim Counts: Risk Classification, Credibility and Bonus-Malus Systems by Michel Denuit, Xavier Marechal, Sandra Pitrebois, Jean-Francois Walhin


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