Multivariate Latent Risk: A Credibility Approach

Montserrat Guillén · Jim Gustafsson · Jens Perch Nielsen

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Probability and Risk Models Insurance and Financial Risk Management Insurance, Mortality, Demography, Risk Management

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.

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References

1967Experience Rating and Credibility 1995Bonus-Malus Systems in Automobile Insurance 1992Automobile insurance ratemaking in the presence of asymmetrical information 1997Allowance for Cost of Claims in Bonus-Malus Systems 2001Allowance for the Age of Claims in Bonus-Malus Systems 1998Designing Optimal Bonus-Malus Systems from Different Types of Claims 1981Recursive credibility estimation

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2011A CORRELATION SENSITIVITY ANALYSIS OF NON-LIFE UNDERWRITING RISK IN SOLVENCY CAPITAL REQUIREMENT ESTIMATION 2015A posteriori ratemaking using bivariate Poisson models

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