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Multivariate Latent Risk: A Credibility Approach

Author

Listed:
  • Englund, Martin
  • Guillén, Montserrat
  • Gustafsson, Jim
  • Nielsen, Lars Hougaard
  • Nielsen, Jens Perch

Abstract

We investigate a concept of multivariate pricing, which includes claim history for more than one line of business and is a generalization of the Bühlmann-Straub model. The multivariate credibility model is extended to allow for the age of claims to influence the estimation of future claims. The model is applied to data from a portfolio of commercial lines of business.

Suggested Citation

  • Englund, Martin & Guillén, Montserrat & Gustafsson, Jim & Nielsen, Lars Hougaard & Nielsen, Jens Perch, 2008. "Multivariate Latent Risk: A Credibility Approach," ASTIN Bulletin, Cambridge University Press, vol. 38(1), pages 137-146, May.
    • Handle: RePEc:cup:astinb:v:38:y:2008:i:01:p:137-146_01
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    Citations

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    Cited by:

    1. Asamoah, Kwadwo, 2016. "On the credibility of insurance claim frequency: Generalized count models and parametric estimators," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 339-353.
    2. Ramon Alemany & Catalina Bolancé & Montserrat Guillén, 2012. "Nonparametric estimation of Value-at-Risk," Working Papers XREAP2012-19, Xarxa de Referència en Economia Aplicada (XREAP), revised Oct 2012.
    3. Yang Lu, 2018. "Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing, and Forecasting," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 85(4), pages 1083-1102, December.
    4. Pechon, Florian & Denuit, Michel & Trufin, Julien, 2018. "Multivariate Modelling of Multiple Guarantees in Motor Insurance of a Household," LIDAM Discussion Papers ISBA 2018019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Denuit, Michel & Lu, Yang, 2020. "Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving," LIDAM Discussion Papers ISBA 2020016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Michel Denuit & Yang Lu, 2021. "Wishart‐gamma random effects models with applications to nonlife insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(2), pages 443-481, June.
    7. Urbina, Jilber & Guillén, Montserrat, 2013. "An application of capital allocation principles to operational risk," Working Papers 2072/222201, Universitat Rovira i Virgili, Department of Economics.
    8. Lluís Bermúdez & Antoni Ferri & Montse Guillén, 2011. "A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation," IREA Working Papers 201113, University of Barcelona, Research Institute of Applied Economics, revised Sep 2011.
    9. Martin Englund & Jim Gustafsson & Jens Perch Nielsen & Fredrik Thuring, 2009. "Multidimensional Credibility With Time Effects: An Application to Commercial Business Lines," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(2), pages 443-453, June.
    10. Qiang Zhang & Lijun Wu & Qianqian Cui, 2017. "The balanced credibility estimators with correlation risk and inflation factor," Statistical Papers, Springer, vol. 58(3), pages 659-672, September.
    11. Joanna Sawicka, 2013. "Model stochastycznej zależności liczby szkód i wartości pojedynczej szkody," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 31, pages 157-183.
    12. Daniel Sobiecki, 2015. "Experience rating with dependence between MTPL and MOD claims," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 37, pages 269-282.
    13. Levon Barseghyan & Francesca Molinari & Darcy Steeg Morris & Joshua C. Teitelbaum, 2020. "The Cost of Legal Restrictions on Experience Rating," Journal of Empirical Legal Studies, John Wiley & Sons, vol. 17(1), pages 38-70, March.

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