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Experience rating with dependence between MTPL and MOD claims

Author

Listed:
  • Daniel Sobiecki

    (Szkoła Główna Handlowa w Warszawie)

Abstract

The subject of the article is experience rating with dependence between two lines of vehicle insurance. The paper presents the application of multidimensional credibility models, which are a generalisation of the Bühlmann-Straub model for the age of claim. Conclusions drawn from the analysis of real data portfolio can be applied in cross-selling of MTPL and MOD insurance.

Suggested Citation

  • 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.
    • Handle: RePEc:sgh:annals:i:37:y:2015:p:269-282
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    References listed on IDEAS

    as
    1. Schnieper, René, 2004. "Robust Bayesian Experience Rating," ASTIN Bulletin, Cambridge University Press, vol. 34(1), pages 125-150, May.
    2. Desjardins, Denise & Dionne, Georges & Pinquet, Jean, 2001. "Experience Rating Schemes for Fleets of Vehicles," ASTIN Bulletin, Cambridge University Press, vol. 31(1), pages 81-105, May.
    3. 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.
    4. Pinquet, Jean & Guillén, Montserrat & Bolancé, Catalina, 2001. "Allowance for the Age of Claims in Bonus-Malus Systems," ASTIN Bulletin, Cambridge University Press, vol. 31(2), pages 337-348, November.
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