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

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• 作者：Xiaobing Zhao^a ; ^{maxbzhao@hotmail.com" class="auth_mail} ; Xian Zhou^b ; ^{xian.zhou@mq.edu.au" class="auth_mail}
• 关键词：Car insurance ; Bonus-malus ; Dependent ; Zero-inflated ; Copula function
• 刊名：Operations Research Letters
• 出版年：June 2014
• 年：2014
• 卷：42
• 期：4
• 页码：273-277
• 全文大小：356 K

文摘

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.