Actuarial Modelling of Claim Counts: Risk Classification, Credibility and Bonus-Malus Systems

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Wiley, Jul 27, 2007 - Mathematics - 384 pages
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There are a wide range of variables for actuaries to consider when calculating a motorist’s insurance premium, such as age, gender and type of vehicle. Further to these factors, motorists’ rates are subject to experience rating systems, including credibility mechanisms and Bonus Malus systems (BMSs).

Actuarial Modelling of Claim Counts presents a comprehensive treatment of the various experience rating systems and their relationships with risk classification. The authors summarize the most recent developments in the field, presenting ratemaking systems, whilst taking into account exogenous information.

The text:

  • Offers the first self-contained, practical approach to a priori and a posteriori ratemaking in motor insurance.
  • Discusses the issues of claim frequency and claim severity, multi-event systems, and the combinations of deductibles and BMSs.
  • Introduces recent developments in actuarial science and exploits the generalised linear model and generalised linear mixed model to achieve risk classification.
  • Presents credibility mechanisms as refinements of commercial BMSs.
  • Provides practical applications with real data sets processed with SAS software.

Actuarial Modelling of Claim Counts is essential reading for students in actuarial science, as well as practicing and academic actuaries. It is also ideally suited for professionals involved in the insurance industry, applied mathematicians, quantitative economists, financial engineers and statisticians.

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About the author (2007)

Michel Denuit – Professor, Institute of Actuarial Science, UCL, Belgium.

Michel Denuit is Professor of Statistics and Actuarial Science at the Université Catholique de Louvain, Belgium. His major fields of research are risk theory and stochastic inequalities. He has (co-)authored numerous articles that have appeared in applied and theoretical journals and served as member of the editorial board for several journals (including Insurance: Mathematics and Economics). He is a section editor on Wiley’s Encyclopedia of Actuarial Science, and is the author of two previous books, one of them with Wiley.

Xavier Maréchal – Université Catholique de Louvain, Belgium & CEO of Reacfin, Belgium.

Sandra Pitrebois – Université Catholique de Louvain, Belgium & Secura Belgian Re, Brussels.

Jean-François Walhin – Université Catholique de Louvain, Belgium & Secura Belgian Re, Brussels

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