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Territorial risk classification using spatially dependent frequency-severity models

Recurso electrónico / Electronic resource
Registro MARC
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001  MAP20170019800
003  MAP
005  20170621141757.0
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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100  ‎$0‎MAPA20100048726‎$a‎Shi, Peng
24510‎$a‎Territorial risk classification using spatially dependent frequency-severity models‎$c‎Peng Shi, Kun Shi
520  ‎$a‎In non-life insurance, territory-based risk classification is useful for various insurance operations including marketing, underwriting, ratemaking, etc. This paper proposes a spatially dependent frequency-severity modeling framework to produce territorial risk scores. The framework applies to the aggregated insurance claims where the frequency and severity components examine the occurrence rate and average size of insurance claims in each geographic unit, respectively. We employ the bivariate conditional autoregressive models to accommodate the spatial dependency in the frequency and severity components, as well as the cross-sectional association between the two components. Using a town-level claims data of automobile insurance in Massachusetts, we demonstrate applications of the model outputterritorial risk scoresin ratemaking and market segmentation.
650 4‎$0‎MAPA20080607487‎$a‎Operaciones de seguros
650 4‎$0‎MAPA20080613327‎$a‎Clasificación de riesgos
650 4‎$0‎MAPA20080602659‎$a‎Modelos econométricos
7001 ‎$0‎MAPA20170007906‎$a‎Shi, Kun
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/05/2017 Volumen 47 Número 2 - mayo 2017 , p. 437-465