D 2015

Bonus-Malus Systems in Vehicle Insurance

KAFKOVÁ, Silvie

Basic information

Original name

Bonus-Malus Systems in Vehicle Insurance

Authors

KAFKOVÁ, Silvie (203 Czech Republic, guarantor, belonging to the institution)

Edition

Amsterdam, Procedia Finance and Economics, p. 216-222, 7 pp. 2015

Publisher

Elsevier B.V.

Other information

Language

English

Type of outcome

Stať ve sborníku

Field of Study

50600 5.6 Political science

Confidentiality degree

není předmětem státního či obchodního tajemství

Publication form

printed version "print"

RIV identification code

RIV/00216224:14560/15:00082157

Organization unit

Faculty of Economics and Administration

ISSN

DOI

UT WoS

000360103600032

Keywords in English

annual claim frequency; generalized linear model; bonus.-malus system; analysis of deviance

Tags

International impact, Reviewed
Změněno: 17/9/2015 12:37, Mgr. Silvie Zlatošová, Ph.D.

Abstract

V originále

Actuaries in insurance companies try to design a tariff structure that will fairly distribute the burden of claims among policyholders. Therefore they try to find the best model for an estimation of the insurance premium. The paper deals with an estimate of a priori annual claim frequency and application of bonus-malus system in the vehicle insurance. In this paper, analysis of the portfolio of vehicle insurance data using generalized linear model (GLM) is performed. Based on large real-world sample of data from 67 857 vehicles, the present study proposes a classification analysis approach addressing the selection of predictor variables. The models with different predictor variables are compared by the analysis of deviance. Based on this comparison, the model for the best estimate of annual claim frequency is chosen. Then the bonus-malus (BM) system is used for each class of drivers and Bayesian relative premium is calculated. Finally a fairer premium for different groups of drivers is proposed.