Publicação
A estimação de tarifas na presença de franquias e limites de indeminização. Uma aplicação à cobertura de choque, colisão ou capotamento do seguro automóvel.
| Resumo: | The construction of premium rating structures is, usually, made in two steps: average claim amount estimation and frequency claim estimation. Generalised linear models are used in a generic way when building those structures, for kinds of insurance with a cousiderable number of risk units and a low levei of heterogeneity among them, being able to estimate any of those parts. Although the characteristics of these models fit well to the behaviour of claim costs of several insurance kinds, such as the third party motor insurance, there are other cases wliere it doesn't fit so well. In this thesis are studied two characteristics of some insurance kinds that bounds the adequacy of generalised linear models: deductibles and policy limits. Because of the existence of deductibles, only are notified those claims whose monetary loss doesn't exceed the deductible amount, while the policy limit implies that the monetary loss is unknown when it exceeds that limit. To overcome the inadequacy of generalised linear models under these constraints, it is proposed the use of generalised tobit models. These models, that follow the philosophy of tobit models, allow to estimate the distribution of monetary losses that originates the claim amount, correcting the eflfects of deductibles and policy limits. With the aim of illustrating the use of these models, it is shown an application to the own damage collision covcr of motor insurance. As the deductibles also have iinpact on the number of not ified claims, it is presented a procedure to estimate the number of occurred claims, independently of the deductible amount. |
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| Autores principais: | Esteves, Rui Alexandre Silva |
| Assunto: | Modelos lineares generalizados Modelos tobit Franquias Limites de indeminização Tarifação Generalised linear models Tobit models Deductibles Policy limits Rating structures |
| Ano: | 2002 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | português |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | The construction of premium rating structures is, usually, made in two steps: average claim amount estimation and frequency claim estimation. Generalised linear models are used in a generic way when building those structures, for kinds of insurance with a cousiderable number of risk units and a low levei of heterogeneity among them, being able to estimate any of those parts. Although the characteristics of these models fit well to the behaviour of claim costs of several insurance kinds, such as the third party motor insurance, there are other cases wliere it doesn't fit so well. In this thesis are studied two characteristics of some insurance kinds that bounds the adequacy of generalised linear models: deductibles and policy limits. Because of the existence of deductibles, only are notified those claims whose monetary loss doesn't exceed the deductible amount, while the policy limit implies that the monetary loss is unknown when it exceeds that limit. To overcome the inadequacy of generalised linear models under these constraints, it is proposed the use of generalised tobit models. These models, that follow the philosophy of tobit models, allow to estimate the distribution of monetary losses that originates the claim amount, correcting the eflfects of deductibles and policy limits. With the aim of illustrating the use of these models, it is shown an application to the own damage collision covcr of motor insurance. As the deductibles also have iinpact on the number of not ified claims, it is presented a procedure to estimate the number of occurred claims, independently of the deductible amount. |
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