Mean and dispersion modelling for policy claims costs

Gillian Z. Heller*, D. Mikis Stasinopoulos, Robert A. Rigby, Piet De Jong

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

18 Citations (Scopus)

Abstract

A model for the statistical analysis of the total amount of insurance paid out on a policy is developed and applied. The model simultaneously deals with the number of claims (zero or more) and the amount of each claim. The number of claims is from a Poisson-based discrete distribution. Individual claim sizes are from a continuous right skewed distribution. The resulting distribution of total claim size is a mixed discrete-continuous model, with positive probability of a zero claim. The means and dispersions of the claim frequency and claim size distribution are modeled in terms of risk factors. The model is applied to a car insurance data set.
Original languageEnglish
Pages (from-to)281-292
Number of pages12
JournalScandinavian Actuarial Journal
Volume2007
Issue number4
DOIs
Publication statusPublished - 2007

Keywords

  • mixture distribution
  • mean and dispersion modelling
  • insurance claims
  • compound Poisson
  • discrete mixture

Fingerprint

Dive into the research topics of 'Mean and dispersion modelling for policy claims costs'. Together they form a unique fingerprint.

Cite this