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Description
  • We focus on rating of non-life insurance contracts. We employ multiplicative models with basic premium levels and specic surcharge coefficients for various levels of selected segmentation criteria (rating factors). We use generalized linear models to describe the probability distribution of total losses for a contract during one year. We propose stochastic programming problems with reliability type constraints for the surcharge coecients estimation which take into account riskiness of each rate cell, prescribed loss ratio and other business requirements. We apply the approach to Motor Third Party Liability (MTPL) policies.
  • We focus on rating of non-life insurance contracts. We employ multiplicative models with basic premium levels and specic surcharge coefficients for various levels of selected segmentation criteria (rating factors). We use generalized linear models to describe the probability distribution of total losses for a contract during one year. We propose stochastic programming problems with reliability type constraints for the surcharge coecients estimation which take into account riskiness of each rate cell, prescribed loss ratio and other business requirements. We apply the approach to Motor Third Party Liability (MTPL) policies. (en)
Title
  • Underwriting risk control in non-life insurance via generalized linear models and stochastic programming
  • Underwriting risk control in non-life insurance via generalized linear models and stochastic programming (en)
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  • Underwriting risk control in non-life insurance via generalized linear models and stochastic programming
  • Underwriting risk control in non-life insurance via generalized linear models and stochastic programming (en)
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  • RIV/00216208:11320/12:10124548!RIV13-GA0-11320___
http://linked.open...avai/riv/aktivita
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  • P(GBP402/12/G097)
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  • 175953
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  • RIV/00216208:11320/12:10124548
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  • MTPL; stochastic programming; generalized linear models; rate making; non-life insurance (en)
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http://linked.open...ontrolniKodProRIV
  • [536E529014E0]
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  • Karviná, Czech Republic
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  • Karviná, Czech Republic
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  • Proceedings of the 30th International Conference on Mathematical Methods in Economics 2012
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  • Branda, Martin
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http://linked.open.../riv/zahajeniAkce
number of pages
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  • Slezská univerzita v Opavě
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  • 978-80-7248-779-0
http://localhost/t...ganizacniJednotka
  • 11320
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