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Activity Number:
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269
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Type:
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Contributed
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Date/Time:
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Tuesday, August 4, 2009 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Risk Analysis
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| Abstract - #304274 |
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Title:
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The Serious Accidents in Car Insurance: A New Appoach by Extreme Value Theory
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Author(s):
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Michel Grun-Rehomme*+
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Companies:
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University of Paris 2
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Address:
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ERMES, 12 place du panthéon, Paris, International, 75005, France
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Keywords:
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Risk management ; car insurance ; Extreme values ; Generalized Pareto Distribution ; EVT
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Abstract:
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In a competitive environment, the development of rate classes in car insurance is strategic, so that the principle of mutualization is more functional. These classes are supposed homogeneous in term of claim costs. The presence of large claim costs in a group comes to disrupt this hypothesis and the stability of the indicator and thus an adequacy between the reference premium and the claims. The extreme value theory allows obtaining reliable estimations of rare events. The classic methods (mean of excesses and Pareto) are proposed for the determination of a threshold from which an event is considered atypical. This step has never been used before in car insurance studies. These methods are compared on a French mutual insurance portfolio. Then, we propose a new method for the determination of a threshold based on a convex combination of these methods, which minimizes the variance.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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