Ratemaking of dependent risks

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<title>Ratemaking of dependent risks</title>
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<namePart>Centeno, M. de Lourdes</namePart>
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<abstract displayLabel="Summary">We start by describing how, in some cases, we can use variance-related premium principles in ratemaking,when the claim numbers and individual claim amounts are independent. We use quasi-likelihood generalized linear models, under the assumption that the variance function is a power function of the mean of the underlying random variable.We extend this approach to the cases where the claim numbers are correlated. Some alternatives to deal with dependent risks are presented, taking explicitly into account overdispersion. We present regression models covering the bivariate Poisson, the generalized bivariate negative binomial and the bivariate PoissonLaguerre polynomial, which nest the bivariate negative binomial. We apply these models to a portfolio of the Portuguese insurance company Tranquilidade and compare the results obtained.</abstract>
<note type="statement of responsibility">J. M. Andrade e Silva, M. de Lourdes Centeno</note>
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<topic>Tarifas</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20160001679">
<topic>Modelos lineales generalizados</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080598822">
<topic>Riesgos dependientes</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>01/09/2017 Volumen 47 Número 3 - septiembre 2017 , p. 875-894</text>
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