Copula-based dependence between frequency and class in car insurance with excess zeros

Xiaobing Zhao*, Xian Zhou

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

A bonus-malus system calculates the premiums for car insurance based on the previous claim experience (class). In this paper, we propose a model that allows dependence between the claim frequency and the class occupied by the insured using a copula function. It also takes into account zero-excess phenomenon. The maximum likelihood method is employed to estimate the model parameters. A small simulation is performed to illustrate the proposed model and method.

Original languageEnglish
Pages (from-to)273-277
Number of pages5
JournalOperations Research Letters
Volume42
Issue number4
DOIs
Publication statusPublished - Jun 2014

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