By Michel Denuit, Xavier Marechal, Sandra Pitrebois, Jean-Francois Walhin

ISBN-10: 0470026774

ISBN-13: 9780470026779

There are a variety of variables for actuaries to think about while calculating a motorist’s coverage top rate, equivalent to age, gender and kind of auto. extra to those components, motorists’ charges are topic to event ranking structures, together with credibility mechanisms and Bonus Malus structures (BMSs).

Actuarial Modelling of declare Counts provides a accomplished therapy of a number of the event ranking structures and their relationships with probability class. The authors summarize the newest advancements within the box, featuring ratemaking structures, when considering exogenous information.

The text:

  • Offers the 1st self-contained, useful method of a priori and a posteriori ratemaking in motor insurance.
  • Discusses the problems of declare frequency and declare severity, multi-event platforms, and the mixtures of deductibles and BMSs.
  • Introduces contemporary advancements in actuarial technological know-how and exploits the generalised linear version and generalised linear combined version to accomplish probability classification.
  • Presents credibility mechanisms as refinements of business BMSs.
  • Provides sensible purposes with genuine information units processed with SAS software.

Actuarial Modelling of declare Counts is vital interpreting for college students in actuarial technology, in addition to training and educational actuaries. it's also preferrred for execs concerned about the assurance undefined, utilized mathematicians, quantitative economists, monetary engineers and statisticians.

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Additional resources for Actuarial Modelling of Claim Counts: Risk Classification, Credibility and Bonus-Malus Systems

Sample text

One can still use this distribution to derive fully efficient and consistent estimates, but this analysis will only be suggestive of the underlying process. Poisson Limiting Form The Negative Binomial distribution has a Poisson limiting form if V = a1 → 0. This result can be recovered from the sequence of the probability generating functions, noting that lim a a a− d 1−z a = lim 1 − a d 1−z a −a = exp − d 1 − z that is seen to converge to the probability generating function of the Poisson distribution with parameter d.

Specifically, let us assume that Nn ∼ in n /n and let n tend to + . The probability mass at 0 then becomes n Pr Nn = 0 = 1 − n → exp − as n → + To get the probability masses on the positive integers, let us compute the ratio n−k Pr Nn = k + 1 = k+1 n → Pr Nn = k k+1 1− n as n → + from which we conclude k lim Pr Nn = k = exp − k! n→+ Poisson Distribution The Poisson random variable takes its values in 0 1 pk = exp − k k! 13) Having a counting random variable N , we denote as N ∼ oi the fact that N is Poisson distributed with parameter .

Which may be more convenient to use in some circumstances. , to Johnson ET AL. (1992). 4 Probability Generating Function In principle all the theoretical properties of the distribution can be derived from the probability mass function. There are, however, several other functions from which exactly the same information can be derived. This is because the functions are all one-to-one transformations Actuarial Modelling of Claim Counts 12 of each other, so each characterizes the distribution. 4), N · depends on .

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Actuarial Modelling of Claim Counts: Risk Classification, Credibility and Bonus-Malus Systems by Michel Denuit, Xavier Marechal, Sandra Pitrebois, Jean-Francois Walhin


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