Non-life rate-making with Bayesian GAMs

被引：53

作者：

Denuit, M

Lang, S

机构：

[1] Catholic Univ Louvain, Inst Sci Actuarielles, B-1348 Louvain, Belgium

[2] Catholic Univ Louvain, Inst Sci, B-1348 Louvain, Belgium

[3] Univ Munich, Inst Stat, Munich, Germany

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2004年 / 35卷 / 03期

关键词：

rate-making; MTPL insurance; Poisson regression; LogNormal regression; postcodes; Bayes models; MCMC; smoothness priors;

D O I：

10.1016/j.insmatheco.2004.08.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper aims to propose modern rate-making techniques based on Generalized Additive Models (GAMs) and extensions. The method accounts for discrete, continuous, categorical and spatial risk factors in a Bayesian framework. It uses computer-intensive simulation methods for statistical inference. Numerical illustrations based on a Belgian MTPL portfolio enhance the interest of the approach. (C) 2004 Elsevier B.V All rights reserved.

引用

页码：627 / 647

页数：21

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