University of Connecticut

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SIGMA Seminar
Application of Random Effects in Dependent Compound Risk Model
Himchan Jeong (UConn)

Friday, February 14, 2020
12:20pm – 1:10pm

Storrs Campus
MONT 214

In ratemaking for general insurance, the calculation of a pure premium has traditionally been based on modeling both frequency and severity in an aggregated claims model. Additionally for simplicity, it has been a standard practice to assume the independence of loss frequency and loss severity. However, in recent years, there has been sporadic interest in the actuarial literature exploring models that departs from this independence. Besides, usual property and casualty insurance enables us to explore the benefits of using random effects for predicting insurance claims observed longitudinally, or over a period of time. Thus, in this article, a research work is introduced with utilizes random effects in dependent two-part model for insurance ratemaking, testing the presence of random effects via Bayesian sensitivity analysis with its own theoretical development as well as empirical results and performance measures using out-of-sample validation procedures.

Contact:

himchan.jeong@uconn.edu

S.I.G.M.A. Seminar (primary), UConn Master Calendar

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