accedaCRIShttps://accedacris.ulpgc.es/jspuiThe accedaCRIS digital repository system captures, stores, indexes, preserves, and distributes digital research material.Sat, 01 Oct 2022 20:39:58 GMT2022-10-01T20:39:58Z5021Computing credibility bonus-malus premiums using the total claim amount distributionhttp://hdl.handle.net/10553/42929Title: Computing credibility bonus-malus premiums using the total claim amount distribution
Authors: Gómez-Déniz, Emilio; Hernández-Bastida, Agustín; Fernández-Sánchez, M. Pilar
Abstract: Assuming a bivariate prior distribution for the two risk parameters appearing in the distribution of the total claim amount when the primary distribution is geometric and the secondary one is exponential, we derive Bayesian premiums which can be written as credibility formulas. These expressions can be used to compute bonus-malus premiums based on the distribution of the total claim amount but not for the claims which produce the amounts. The methodology proposed is easy to perform, and the maximum likelihood method is used to compute the bonus-malus premiums for a real set of automobile insurance data, one that is well known in actuarial literature.
Wed, 01 Jan 2014 00:00:00 GMThttp://hdl.handle.net/10553/429292014-01-01T00:00:00ZA suitable alternative to the Pareto distributionhttp://hdl.handle.net/10553/47376Title: A suitable alternative to the Pareto distribution
Authors: Gómez Déniz, Emilio; Calderín Ojeda,Enrique
Abstract: Undoubtedly, the single parameter Pareto distribution is one of the most attractive distribution in statistics; a power law probability distribution found in a large number of real-world situations inside and outside the field of economics. Furthermore, it is usually used as a basis for excess of loss quotations as it gives a pretty good description of the random behaviour of large losses. In this paper, we introduce a distribution which can be considered as alternative to the single parameter Pareto distribution. A comprehensive treatment of its mathematical properties is considered with relevant emphasis on results concerning insurance. Additionally, estimation by the method of moments and maximum likelihood is discussed. Then, an analysis of estimation performance is carried out. Finally, the performance of the model is examined by using two examples of real claims data.
Wed, 01 Jan 2014 00:00:00 GMThttp://hdl.handle.net/10553/473762014-01-01T00:00:00Z