Premium calculation using marginal generalized linear model combined with copula

A. R.U. Kholifah, D. Lestari, S. Devila

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

Abstract

In order to determine non-life insurance premiums, we estimate the aggregate loss of insurance. Usually, in obtaining the aggregate loss model, we assume that the claim sizes and number of claims are independent. However, in some cases, there is a dependency between claim sizes and number of claims. We find the joint distribution of claim sizes and number of claims using copula. In this paper, we use the marginal Generalized Linear Model (GLM) that combined with a copula. The parameters of the marginal GLM will be estimated by maximum likelihood estimation. The estimate of aggregate loss is then used to find the non-life insurance premium.

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

  • Aggregate loss
  • claim severity
  • copula
  • frequency claims
  • generalized linear model
  • premium

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