Title of article
Non-life rate-making with Bayesian GAMs
Author/Authors
Denuit، نويسنده , , Michel and Lang، نويسنده , , Stefan، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
21
From page
627
To page
647
Abstract
This paper aims to propose modern rate-making techniques based on Generalized Additive Models (GAMs) and extensions. The method accounts for discrete, continuous, categorical and spatial risk factors in a Bayesian framework. It uses computer-intensive simulation methods for statistical inference. Numerical illustrations based on a Belgian MTPL portfolio enhance the interest of the approach.
Keywords
Smoothness priors , Rate-making , Poisson regression , MTPL insurance , Lognormal regression , Postcodes , Bayes models , MCMC
Journal title
Insurance Mathematics and Economics
Serial Year
2004
Journal title
Insurance Mathematics and Economics
Record number
1542845
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