Modelling the claims process in the presence of covariates
Open accessAbstract
An overview of the potential of Generalized Linear Models as a means of modelling the salient features of the claims process in the presence of rating factors is presented. Specific attention is focused on the rich variety of modelling distributions which can be implemented in this context.
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Insurers tend to model separately the claim frequency and average claim severity using GLMs.
“insurers tend to model separately the claim frequency and average claim severity using GLMs”
From Modelling Motor Insurance Claim Frequency and Severity Using Gradient Boosting (2023) · cites this paper as Renshaw 1994
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References 17 · Cited by 112
Research works printed but not linked: 5
- ANDRADE K SIEVA, J. M. (1989) An application of Generalized Linear Models to Portuguese Motor Insurance. Proceedings XXI ASTIN Colloquium, New York, 633.
- CF.NTF.NO, L. and ANDRADE E SILVA, J.M. (1991) Generalized Linear Models under Constraints. Proceedings XXIII ASTIN Colloquium, Stockholm.
- HABERMAN, S. and RKNSHAW, A.E. (1989) Fitting Loss Distributions using Generalized Linear Models. Proceedings XXI ASTIN Colloquium, New York, 149.
- HOGG, R.V. and KLUGMAN, S.A. (1984) Loss Distributions. John Wiley & Sons.
- RENSHAW, A.E. (1990) Graduation by Generalized Linear Modelling Techniques. Proceedings XXII ASTIN Colloquium, Montreux.
- Authors
- Renshaw, A. E.
- Affiliations
- City, University of London (GB)
- Corresponding author
- Renshaw, Arthur E.
- Venue
- ASTIN Bulletin
- Publisher
- Cambridge University Press (CUP)
- Published
- 1994-11
- Volume
- 24
- Issue
- 2
- Pages
- 265-285
- ISSN
- 0515-0361 (ISSN-L)
- 1783-1350
- OpenAlex
- W2157497458
- Cited by
- 112
- References
- 17
- Citations by year
- 2026: 3 · 2025: 4 · 2024: 4 · 2023: 6 · 2022: 3 · 2021: 4 · 2020: 5 · 2019: 4 · 2018: 5 · 2017: 5 · 2016: 7 · 2015: 4 · 2014: 3 · 2013: 5 · 2012: 3
- FWCI
- 2.07
- Type
- journal article
- Language
- en
- Open access
- bronze
- doi.org
- Locations
- Astin Bulletin (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Decision Sciences › Management Science and Operations Research › Probability and Risk Models
- Physical Sciences › Mathematics › Statistics and Probability › Statistical Distribution Estimation and Applications
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Insurance and Financial Risk Management
- Keywords
- rating factors, generalized linear models, covariates
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