Research output: Contribution to journal › Article › peer-review
Modern claim frequency and claim severity models : an application to the Russian motor own damage insurance market. / Gilenko, Evgenii V.; Mironova, Elena A.
In: Cogent Economics & Finance, Vol. 5, No. 1, 1311097, 2017, p. 1-12.Research output: Contribution to journal › Article › peer-review
}
TY - JOUR
T1 - Modern claim frequency and claim severity models
T2 - an application to the Russian motor own damage insurance market
AU - Gilenko, Evgenii V.
AU - Mironova, Elena A.
N1 - Gilenko, E. V. Modern claim frequency and claim severity models : An application to the Russian motor own damage insurance market / E. V. Gilenko, E. A. Mironova // Cogent Economics and Finance. – 2017. – Volume 5, Issue 1. – P. 1-12.
PY - 2017
Y1 - 2017
N2 - During 2012–2015, the motor insurance in Russia received considerable attention both from the parts of the Russian government and from the insurance business. This was caused, in particular, by significant losses from the side of insurance companies that occurred during 2012–2013. Experts explain these losses not only by the effects of inflation or by the changes in Russian insurance legislation, but also by the incomplete set of factors that has been used by insurance companies for tariff calculation. This research analyses the factors that influence claim frequency and claim severity in the Russian motor own damage (MOD) insurance to assess the efficiency of the existing set of factors used for MOD insurance tariff calculations. To this end, we employ the appropriate claim frequency and claim severity models on the data provided by one of the leading St. Petersburg (Russia) insurance companies for the period of 2012–2013. The results of our calculations, organized within a resampling framework, show that additional factors may indeed be worth taking into account in the MOD insurance tariff calculation.
AB - During 2012–2015, the motor insurance in Russia received considerable attention both from the parts of the Russian government and from the insurance business. This was caused, in particular, by significant losses from the side of insurance companies that occurred during 2012–2013. Experts explain these losses not only by the effects of inflation or by the changes in Russian insurance legislation, but also by the incomplete set of factors that has been used by insurance companies for tariff calculation. This research analyses the factors that influence claim frequency and claim severity in the Russian motor own damage (MOD) insurance to assess the efficiency of the existing set of factors used for MOD insurance tariff calculations. To this end, we employ the appropriate claim frequency and claim severity models on the data provided by one of the leading St. Petersburg (Russia) insurance companies for the period of 2012–2013. The results of our calculations, organized within a resampling framework, show that additional factors may indeed be worth taking into account in the MOD insurance tariff calculation.
KW - claim frequency
KW - claim severity
KW - gamma-distribution
KW - SCOPUS
KW - WOS
KW - SCOPUS
KW - WOS
U2 - 10.1080/23322039.2017.1311097
DO - 10.1080/23322039.2017.1311097
M3 - Article
VL - 5
SP - 1
EP - 12
JO - Cogent Economics and Finance
JF - Cogent Economics and Finance
SN - 2332-2039
IS - 1
M1 - 1311097
ER -
ID: 9432752