Modelling repeated insurance claim frequency data using the generalized linear mixed model
Most of the methods used to estimate claim frequency rates in general insurance have assumed that data are independent. However, it is not uncommon for information stored in the database of an insurance company to contain previous years' claim data from each policyholder. We consider the application of the generalized linear mixed model approach to the analysis of repeated insurance claim frequency data in which a conditionally fixed random effect vector is incorporated explicitly into the linear predictor to model the inherent correlation. A motor insurance data set is used as the basis for simulation to demonstrate the advantages of the method. Ignoring the underlying association for observations within the same policyholder results in an underestimation of the standard error of the parameter estimates and a remarkable reduction in the prediction accuracy. The method provides a viable alternative for incorporating repeated claim experience that enables the revision of rates in general insurance.
Volume (Year): 30 (2003)
Issue (Month): 8 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/CJAS20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/CJAS20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- K. K. W. Yau, 1999. "Estimation of surgeon effects in the analysis of post-operative colorectal cancer patients data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(2), pages 257-272.
- Dionne, G. & Vanasse, C., 1988.
"A Generalization Of Automobile Insurance Rating Models: The Negative Binomial Distribution With A Regression Component,"
Cahiers de recherche
8833, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dionne, G. & Vanasse, C., 1988. "A Generalization of Automobile Insurance Rating Models: the Negative Binomial Distribution with a Regression Component," Cahiers de recherche 8833, Universite de Montreal, Departement de sciences economiques.
- Kelvin K. W. Yau & Anthony Y. C. Kuk, 2002. "Robust estimation in generalized linear mixed models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(1), pages 101-117.
- Stroinski, Krzysztof J. & Currie, Iain D., 1989. "Selection of variables for automobile insurance rating," Insurance: Mathematics and Economics, Elsevier, vol. 8(1), pages 35-46, March.
When requesting a correction, please mention this item's handle: RePEc:taf:japsta:v:30:y:2003:i:8:p:857-865. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.