Insurance ratemaking using a copula-based multivariate Tweedie model |
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Authors: | Peng Shi |
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Institution: | Department of Actuarial Science, Risk Management, and Insurance, School of Business, University of Wisconsin–Madison, Madison, WI, USA. |
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Abstract: | The Tweedie distribution, featured with a mass probability at zero, is a convenient tool for insurance claims modeling and pure premium determination in general insurance. Motivated by the fact that an insurance policy typically provides multiple types of coverage, we propose a copula-based multivariate Tweedie regression for modeling the semi-continuous claims while accommodating the association among different types. The proposed approach also allows for dispersion modeling, resulting in a multivariate version of the double generalized linear model. We demonstrate the application in insurance ratemaking using a portfolio of policyholders of automobile insurance from the state of Massachusetts in the United States. |
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Keywords: | ratemaking Tweedie distribution dispersion model copula |
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