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Investigating dependence between frequency and severity via simple generalized linear models

Title
Investigating dependence between frequency and severity via simple generalized linear models
Authors
Lee, WoojooPark, Sojung C.Ahn, Jae Youn
Ewha Authors
안재윤
SCOPUS Author ID
안재윤scopus
Issue Date
2019
Journal Title
JOURNAL OF THE KOREAN STATISTICAL SOCIETY
ISSN
1226-3192JCR Link

1876-4231JCR Link
Citation
JOURNAL OF THE KOREAN STATISTICAL SOCIETY vol. 48, no. 1, pp. 13 - 28
Keywords
DependenceGeneralized linear modelRate makingDispersion parameter
Publisher
KOREAN STATISTICAL SOC
Indexed
SCIE; SCOPUS; KCI WOS scopus
Document Type
Article
Abstract
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.
DOI
10.1016/j.jkss.2018.07.003
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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