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 language | English |
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Pages (from-to) | 281-292 |
Number of pages | 12 |
Journal | Scandinavian Actuarial Journal |
Volume | 2007 |
Issue number | 4 |
DOIs | |
Publication status | Published - 2007 |
Keywords
- mixture distribution
- mean and dispersion modelling
- insurance claims
- compound Poisson
- discrete mixture