Generalized linear and additive models with application to claim size modelling in non-life insurance

Specialeforsvar ved Manuel Nyvang Kristensen

Titel: Generalized linear and additive models with application to claim size modelling in non-life insurance

Abstract: We study the generalized linear and additive models and apply these to claim sizes of a comprehensive car insurance product. The objective is to examine whether the additive model constitutes a better model for the claim sizes than the linear model and to assess what differences the two models imply from a pricing perspective. Both types of models are fitted to the data, and by model evaluation and comparison it is found that the additive model is a better fit. This is due to a single continuous covariate that has a significant non-linear effect, which the linear model is unable to capture. The main difference in pricing structure suggested by the two models concerns around 1% of the portfolio at conside-ration. 1.7% premium money is redistributed within the portfolio between the two models, and 0.5% of policies experience a risk premium difference of more than 50 DKK. The pros and cons of using either of the models for pricing in non-life insurance are also discussed.

Vejledere:  Jostein Paulsen, Michael Heldrup, Codan Forsikring
Censor:      Mette M Havning