Investigating dependence between frequency and severity via simple generalized linear models
- 주제(키워드) Dependence , Generalized linear model , Rate making , Dispersion parameter
- 주제(기타) Statistics & Probability
- 설명문(일반) [Lee, Woojoo] Inha Univ, Dept Stat, 235 Yonghyun Dong, Incheon 402751, South Korea; [Park, Sojung C.] Seoul Natl Univ, Coll Business Adm, Seoul 151916, South Korea; [Ahn, Jae Youn] Ewha Womans Univ, Dept Stat, 11-1 Daehyun Dong, Seoul 120750, South Korea
- 등재 SCIE, SCOPUS, KCI등재
- 발행기관 KOREAN STATISTICAL SOC
- 발행년도 2019
- URI http://www.dcollection.net/handler/ewha/000000160287
- 본문언어 영어
- Published As http://dx.doi.org/10.1016/j.jkss.2018.07.003
초록/요약
Recently, a body of literature proposed new models relaxing a widely-used but controversial assumption of independence between claim frequency and severity in non-life insurance rate making. This paper critically reviews a generalized linear model approach, where a dependence between claim frequency and severity is introduced by treating frequency as a covariate in a regression model for severity. As an extension of this approach, we propose a dispersion model for severity. For this model, the information loss caused by using average severity rather than individual severity is examined in detail and the parameter estimators suffering from low efficiency are identified. We also provide analytical solutions for the aggregate sum to help rate making. We show that the simple functional form used in current research may not properly reflect the real underlying dependence structure. A real data analysis is given to explain our analytical findings. (C) 2018 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.
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