Non-life insurance econometrics

M. Thomas

Last updated on May 31, 2021

Objectives: In this course, tools are introduced that allow the evaluation of certain risks by taking into account the characteristics and history of the insured. They thus make it possible to take into account the heterogeneity of a portfolio, the evolution of a risk over time, and thus to refine the pricing techniques.

Course outline

I. Generalized linear model in a priori pricing

  1. Formulation and estimation of parameters
  2. Confidence intervals and fit
  3. Examples and illustrations in pricing

II. Credibility theory, a posteriori pricing

  1. Bayesian credibility
  2. Linear credibility
  3. Hierarchical credibility
  4. Taking into account a time drift

III. Bonus-Malus

  1. Generalities on Markov chains
  2. Construction of a bonus-malus system

IV. Technical provisions

  1. Deterministic methods
  2. Mack’s method and extensions
  3. Factor methods
  4. Use of generalized linear models
  5. Measuring uncertainty in provisions

References

  • BÜHLMANN, H., GISLER, A. (2005), A course in Credibility Theory and its Applications, Springer.

  • CHARPENTIER, A., DENUIT, M. (2004), Mathématiques de l’assurance non-vie, tome 1 : principes fondamentaux de théorie du risque, Paris, Ed. Economica.

  • CHARPENTIER, A., DENUIT, M. (2004), Mathématiques de l’assurance non-vie, tome 2 : tarification et provisionnement, Paris, Ed. Economica.

  • DE JONG, P., HELLER, G. Z. (2008), Generalized linear models for Insurance Data, Cambridge University Press.

  • GOURIEROUX C. (1999), Statistique de l’assurance, Paris, Ed. Economica.

  • OHLSSON, E., JOHANSSON, B. (2010), Non-life Insurance pricing with Generalized Linear Models, Springer.