Multidimensional Credibility With Time Effects: An Application to Commercial Business Lines
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Multidimensional Credibility With Time Effects: An Application to Commercial Business Lines. / Englund, Martin; Gustafsson, Jim Krister Angantyr; Nielsen, J.P.; Thuring, Fredrik.
I: Journal of Risk and Insurance, Bind 76, Nr. 2, 2009, s. 443-453.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Multidimensional Credibility With Time Effects: An Application to Commercial Business Lines
AU - Englund, Martin
AU - Gustafsson, Jim Krister Angantyr
AU - Nielsen, J.P.
AU - Thuring, Fredrik
N1 - Paper id:: 10.1111/j.1539-6975.2009.01306.x
PY - 2009
Y1 - 2009
N2 - This article considers Danish insurance business lines for which the pricing methodology has been dramatically upgraded recently. A costly affair, but nevertheless, the benefits greatly exceed the costs; without a proper pricing mechanism, you are simply not competitive. We show that experience rating improves this sophisticated pricing method as much as it originally improved pricing compared with a trivial flat rate. Hence, it is very important to take advantage of available customer experience. We verify that recent developments in multivariate credibility theory improve the prediction significantly, and we contribute to this theory with new robust estimation methods for time (in-)dependency.
AB - This article considers Danish insurance business lines for which the pricing methodology has been dramatically upgraded recently. A costly affair, but nevertheless, the benefits greatly exceed the costs; without a proper pricing mechanism, you are simply not competitive. We show that experience rating improves this sophisticated pricing method as much as it originally improved pricing compared with a trivial flat rate. Hence, it is very important to take advantage of available customer experience. We verify that recent developments in multivariate credibility theory improve the prediction significantly, and we contribute to this theory with new robust estimation methods for time (in-)dependency.
M3 - Journal article
VL - 76
SP - 443
EP - 453
JO - Journal of Risk and Insurance
JF - Journal of Risk and Insurance
SN - 0022-4367
IS - 2
ER -
ID: 14438899