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Joint Modeling Of Claim Frequencies And Behavioral Signals In Motor Insurance

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  • Corradin, Alexandre
  • Denuit, Michel
  • Detyniecki, Marcin
  • Grari, Vincent
  • Sammarco, Matteo
  • Trufin, Julien

Abstract

Telematicsdevices installed in insured vehicles provide actuaries with new risk factors, such as the time of the day, average speeds, and other driving habits. This paper extends the multivariate mixed model describing the joint dynamics of telematics data and claim frequencies proposed by Denuit et al. (2019a) by allowing for signals with various formats, not necessarily integer-valued, and by replacing the estimation procedure with the Expected Conditional Maximization algorithm. A numerical study performed on a database related to Pay-How-You-Drive, or PHYD motor insurance illustrates the relevance of the proposed approach for practice.

Suggested Citation

  • Corradin, Alexandre & Denuit, Michel & Detyniecki, Marcin & Grari, Vincent & Sammarco, Matteo & Trufin, Julien, 2022. "Joint Modeling Of Claim Frequencies And Behavioral Signals In Motor Insurance," ASTIN Bulletin, Cambridge University Press, vol. 52(1), pages 33-54, January.
    • Handle: RePEc:cup:astinb:v:52:y:2022:i:1:p:33-54_2
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    Cited by:

    1. Simon, Pierre-Alexandre & Trufin, Julien & Denuit, Michel, 2023. "Bivariate Poisson credibility model and bonus-malus scale for claim and near-claim events," LIDAM Discussion Papers ISBA 2023014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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