Mean and dispersion modelling for policy claims costs |
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Authors: | Gillian Z. Heller D. Mikis Stasinopoulos Robert A. Rigby Piet De Jong |
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Affiliation: | 1. Macquarie University , Sydneygheller@efs.mq.edu.au;3. London Metropolitan University , London, UK;4. Macquarie University , Sydney |
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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. |
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Keywords: | Mixture distribution Mean and dispersion modelling Insurance claims Compound Poisson Discrete mixture |
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