Generalized linear model for deductible pricing in non-life insurance

S. Ng, D. Lestari, S. Devila

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

1 Citation (Scopus)

Abstract

One common feature of a non-life insurance policy is deductible. When deductible is introduced, it changes both the distribution of frequency and severity due to the censoring and truncation of the random variables. Therefore, different premiums are required for different deductibles. This leads to the need of determining the relativities over possible deductible levels. There are a few methods for calculating relativities. In practice, some of them present difficulty in statistical estimation for the unobserved random variables. An alternative method, the regression approach, is more practical in application. This paper focuses on the regression approach in relativity calculation. For some parametric severity distributions, improvements can be made by incorporating correct covariates to the model.

Original languageEnglish
Title of host publicationProceedings of the 4th International Symposium on Current Progress in Mathematics and Sciences, ISCPMS 2018
EditorsTerry Mart, Djoko Triyono, Ivandini T. Anggraningrum
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735419155
DOIs
Publication statusPublished - 4 Nov 2019
Event4th International Symposium on Current Progress in Mathematics and Sciences 2018, ISCPMS 2018 - Depok, Indonesia
Duration: 30 Oct 201831 Oct 2018

Publication series

NameAIP Conference Proceedings
Volume2168
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

Conference4th International Symposium on Current Progress in Mathematics and Sciences 2018, ISCPMS 2018
Country/TerritoryIndonesia
CityDepok
Period30/10/1831/10/18

Keywords

  • Deductible
  • generalized linear model
  • non-life insurance
  • relativity

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