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Activity Number: 566 - Analytics in Insurance Operations: Novel Statistical Methods and Applications
Type: Topic Contributed
Date/Time: Wednesday, July 31, 2019 : 2:00 PM to 3:50 PM
Sponsor: Casualty Actuarial Society
Abstract #304282 Presentation
Title: Multi-Peril Ratemaking for Property Insurance Using Longitudinal Data
Author(s): Lu Yang* and Peng Shi
Companies: University of Amsterdam and University of Wisconsin-Madison
Keywords: Gaussian copula; Multi-peril ratemaking; Multivariate longitudinal data; Predictive distribution; Zero inflation
Abstract:

In property insurance, a contract often provides the policyholder with protection against damages to the insured properties that arise from a variety of perils. We propose a multivariate framework for pricing property insurance contracts with multi-peril coverage in a longitudinal context. Specifically, a two-part model is employed to accommodate the excess of 0s and heavy tails in the insurance loss cost, and a Gaussian copula with a structured correlation is used to capture the dependence within and between perils, as well as their interaction. Using the government property insurance data from the state of Wisconsin in the USA, we show that the multi-peril claim model has important implications in both experience rating and risk margin analysis.


Authors who are presenting talks have a * after their name.

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