Three-level modelling of automobile insurance claim components for Manila data

Added Title

3-level modelling of automobile insurance claim components for Manila data

Date of Publication

2010

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Statistics Major in Actuarial Science

Subject Categories

Statistics and Probability

College

College of Science

Department/Unit

Mathematics and Statistics

Thesis Adviser

Shirlee R. Ocampo
Isagani B. Jos

Defense Panel Chair

Artuiro Y. Pacificador, Jr.

Defense Panel Member

Regina M. Tresvalles
Michele G. Tan

Abstract/Summary

This paper uses a three-level model to analyze policyholder claims on automobile insurance data. The three levels are claim frequency, claim type, and claim severity. In the first level, the negative binomial regression models were used to model count data. Using Akaike Information Criterion, Schwarz Bayesian Criterion, and total absolute difference, the results showed that negative binominal with p=2 gives the best fit. In level 2, two types of claims were considered. These are own damage (OD) and third party (TP). Binary logistics was used and the backward selection procedure gave the best results. In level 3, modeling claim severity, the gamma distribution and generalized beta of the second kind (GB2) were used. For OD claim type, mixed distribution was utilized and for TP, the usual modeling technique was applied. Under GB2, three approaches were considered. Based on the output, it can be seen that the second approach of GB2 provided the best fit for both claim types. However, the coefficient of determination achieved for both models are not that high, that is 60.74% for OD and 67.93% for TP respectively.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU16000

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

173 leaves, 28 cm.

Keywords

Automobile insurance claims--Philippines--Manila--Econometric models

Embargo Period

4-15-2021

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