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Generalized Linear Models for Loss Calculation in General Insurance

Author(s)
Dian Lestari Department of Mathematics, Faculty of Mathematics and Natural Sciences,Universitas Indonesia, Depok 16424,Indonesia
Raymond Tanujaya Department of Mathematics, Faculty of Mathematics and Natural Sciences,Universitas Indonesia, Depok 16424,Indonesia
Rahmat Al Kafi Department of Mathematics, Faculty of Mathematics and Natural Sciences,Universitas Indonesia, Depok 16424,Indonesia
Sindy Devila Department of Mathematics, Faculty of Mathematics and Natural Sciences,Universitas Indonesia, Depok 16424,Indonesia
Abstract
In most cases, loss in general insurance is calculated based on claim severity and frequency and an assumption of independence. However, in some cases, claim severity depends upon the claim frequency. This paper presents the derivation of aggregate loss calculation by modeling claim severity and frequency as the assumption of independence is eliminated. The authors modeled average claim severity using claim frequency as the covariate to induce the dependence among them. For that purpose, we use the generalized linear models. The calculated loss is obtained after the parameter estimation process.
Publication Details
Page(s) 505-510
DOI 10.18187/pjsor.v18i3.3676
Published Journal: Pakistan Journal of Statistics and Operation Research, Volume: 18, Issue: 3, Year: 2022

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Keywords
dependency, Aggregate Loss., Claim Frequency, Claim Severity
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