Non-Life Insurance Pricing with Generalized Linear Models
Setting the price of a non-life insurance policy involves the statistical analysis of insurance data, taking into consideration various properties of the insured object and the policy holder. Introduced by British actuaries, generalized linear models (GLM
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EAA SERIES · TEX TBOOK
Non-Life Insurance Pricing with Generalized Linear Models
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EAA series - Textbook Editors Ch. Hipp M. Koller A. Pelsser E. Pitacco D. Filipovic (Co-Chair) U. Orbanz (Co-Chair)
EAA series is successor of the EAA Lecture Notes and supported by the European Actuarial Academy (EAA GmbH), founded on the 29 August, 2005 in Cologne (Germany) by the Actuarial Associations of Austria, Germany, the Netherlands and Switzerland. EAA offers actuarial education including examination, permanent education for certified actuaries and consulting on actuarial education. actuarial-academy.com
EAA series/EAA Lecture Notes Wüthrich, M.V.; Bühlmann, H.; Furrer, H. Market-Consistent Actuarial Valuation 2007 Lütkebohmert, E. Concentration Risk in Credit Portfolios 2009 Sundt, B.; Vernic, R. Recursions for Convolutions and Compound Distributions with Insurance Applications 2009 Ohlsson, E.; Johansson, B. Non-Life Insurance Pricing with Generalized Linear Models 2010
Esbjörn Ohlsson r Björn Johansson
Non-Life Insurance Pricing with Generalized Linear Models
Dr. Esbjörn Ohlsson Länsförsäkringar Alliance 106 50 Stockholm Sweden [email protected]
Dr. Björn Johansson Länsförsäkringar Alliance 106 50 Stockholm Sweden
ISSN 1869-6929 e-ISSN 1869-6937 ISBN 978-3-642-10790-0 e-ISBN 978-3-642-10791-7 DOI 10.1007/978-3-642-10791-7 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2010923536 Mathematics Subject Classification (2000): 91Gxx, 62Jxx, 97M30 © Springer-Verlag Berlin Heidelberg 2010, Corrected printing 2015 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: WMXDesign GmbH, Heidelberg Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
To our families
Preface
Non-life insurance pricing is the art of setting the price of an insurance policy, taking into consideration various properties of the insured object and the policy holder. The main source on which to base the decision is the insurance company’s own historical data on policies and claims, sometimes supplemented with data from external sources. In a tariff analysis, the actuary uses this data to find a model which describes how the claim cost of an insurance policy depends o
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