Non-Life Insurance Pricing
Objectives
Learn the basic techniques for Pricing in Non-life Insurance.
Distinguish A Priori Ratemaking from A Posteriori Ratemaking.
Distinguish Premium Calculation from Tariff Construction.
Know how to build a Tariff Structure for Non-life Insurance using Generalized Linear Models and Credibility Theory.
Know how to implement a Bonus-Malus System and evaluate its effectiveness.
General characterization
Code
12457
Credits
6.0
Responsible teacher
Gracinda Rita Diogo Guerreiro
Hours
Weekly - 4
Total - 70
Teaching language
Português
Prerequisites
No requirements
Bibliography
Buhlmann, H. and Gisler, A. (2005). A Course in Credibility Theory and its Applications, Springer.
Centeno, M.L. (2002), Teoria do Risco na Actividade Seguradora, Celta Editora.
Charpentier, A. (2015) Computational Actuarial Science with R, Chapman and Hall/CRC Press
Dobson, A. (1990), An Introduction to Generalized Linear Models, Chapman & all, London.
Lemaire, J. (1995), Bonus-Malus Systems in Automobile Insurance, Kluwer Academic Publishers.
Ohlsson, E.; Johansson, B. (2010), Non-Life Insurance Pricing with Generalized Linear Models, Springer.
Teaching method
In lectures we will explain and discuss program topics of the course.
The themes are introduced by the teacher, consolidated with real examples taken from the general insurance industry following a brief discussion.
The lectures include the resolution of real life examples in a computational environment.
The evaluation will be performed with tests, practical assignments and/or final exam.
Evaluation method
Evaluation Rules
Frequency
To obtain Frequency to the Curricular Unit (CU) the student must perform a Presentation of one of the Practical Assignments.
CONTINUOUS EVALUATION / NORMAL SEASON
The continuous assessment will be made through one test (T), two practical group assignments (PA1 and PA2) and one oral Presentation (P).
Grade Normal Season = 0.30 (T + PA1 + PA2) + 0.10 P
The student who obtains a final grade greater than or equal to 18.5 must take an oral defence of grade (on a date to be agreed). If the student does not attend the oral exam, the final grade will be 18 points.
The student obtains approval to UC if Grade Normal Season is greater than or equal to 9.5 values.
EVALUATION OF APPEAL SEASON
The evaluation of Appeal Season is made by Exam (E), being valid both for grade improvement and for approval to UC.
Grade Appeal Season = 0.6 E + 0.30 (PA1 + PA2)
The student obtains approval to the CU if the Grade of Appeal Season is greater than or equal to 9.5 values.
The student who obtains a final grade greater than or equal to 18.5 must take an oral defence of grade (on a date to be agreed). If the student does not attend the oral exam, the final grade will be 18 points.
GRADE IMPROVEMENT
Students who intend to take the appeal exam, with a view to improving their grades, must, in advance, request this improvement from academic services.
Grade Improvement = 0.6 E + 0.30 (PA1 + PA2)
Practical assignments cannot be improved.
Subject matter
1. A priori Ratemaking
1.1 Credibility Theory
Bayesian credibility: Introduction and Poisson-Gamma Model
Buhlmann and Bulhmann-Straub Models
Jewel’s Hierarchical Models
1.2 Generalized Linear Models in Non-life Insurance Pricing
The Exponential Family
Model formulation
Model Selection and Parameters estimation
Modeling Claim Frequency
Modeling Claim Severity
Building the Pricing Structure
Inclusion of Large Claims
Logistic Regression in Pricing Context
2. A Posteriori Ratemaking
A priori vs a posteriori ratemaking
Bonus Malus Systems definition
Transition Probabilities and Limit Theorems
2.2 Optimal Premium Scales
2.3 Evaluation of Bonus Malus Systems
2.4 Alternative Approaches