Pricing insurance premia: a top down approach
Insurance plays an important economic and social role through its ability to transfer risk. In this paper, we focus on the largest insurance sector, the automobile sector. We model automobile insurance premia through a top down approach. Our approach is appealing since it defines the dynamics of the...
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| Veröffentlicht in: | Annals of operations research 2022-06, Vol.313 (2), p.899-914 |
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| creator | Errais, Eymen |
| description | Insurance plays an important economic and social role through its ability to transfer risk. In this paper, we focus on the largest insurance sector, the automobile sector. We model automobile insurance premia through a top down approach. Our approach is appealing since it defines the dynamics of the aggregate loss in a consistent way, and also provides a coherent definition of the joint distribution of the total losses and the car insurance premium. We show how to make this top down approach computationally tractable by using the class of
affine point processes,
which are intensity-based jump processes driven by affine jump diffusions. An affine point process is sufficiently flexible to account for both country global infrastructure and driving behaviour. Further it allows for efficient computation and calibration of a large class of insurance products. |
| doi_str_mv | 10.1007/s10479-019-03459-w |
| format | Article |
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affine point processes,
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affine point processes,
which are intensity-based jump processes driven by affine jump diffusions. An affine point process is sufficiently flexible to account for both country global infrastructure and driving behaviour. 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| source | SpringerLink Journals - AutoHoldings; EBSCOhost Business Source Complete |
| subjects | Analysis Automobile insurance Business and Management Combinatorics Contracts Insurance Insurance industry Operations research Operations Research/Decision Theory S.I.: Risk Management Decisions and Value under Uncertainty Theory of Computation Traffic accidents Traffic accidents & safety |
| title | Pricing insurance premia: a top down approach |
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