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P. S. Kornya (1983)
Distribution of aggregate claims in the individual risk theory model, 35
C. Hipp, R. Michel (1996)
Risikotheorie: Stochastische Modelle und statistische Methoden
H. Bühlmann (1970)
Mathematical Methods in Risk Theory
H. Panjer (1981)
Recursive Evaluation of a Family of Compound DistributionsASTIN Bulletin, 12
L. Fahrmeir, G. Tutz (1994)
Multivariate statistical modelling based on generalized linear models
S. Kuon, M. Radtke, A. Reich (1993)
An Appropriate Way to Switch from the Individual Risk Model to the Collective OneASTIN Bulletin, 23
L. Fahrmeier, A. Hamerle (1984)
Multivariate statistische Verfahren
N. Pril (1989)
The Aggregate Claims Distribution in the Individual Model with Arbitrary Positive ClaimsAstin Bulletin, 19
C. Hipp (1985)
Approximation of aggregate claims distributions by compound Poisson distributions, 4
S. Kuon, A. Reich, L. Reimers (1987)
Panjer vs Kornya vs De Pril: A Comparison from a Practical Point of ViewASTIN Bulletin, 17
Segmentation strategies and differentiated preselection in underwriting call for new portfolio management techniques, the use of which is becoming increasingly widespread amongst insurance companies faced with growing competitive pressure. In recent years, mathematical procedures have been developed for this purpose and the applicability of existing procedures for use in insurance practice has been recognized. The present paper elucidates various methods for determining the aggregate claims distribution, which describes the performance and volatility of a portfolio. There then follows a presentation of multivariate methods, particularly generalized linear models and methods applying variance and discriminant analysis, which facilitate the analysis of more narrowly defined segments and subportfolios. Finally, the paper contains a description of applications used by numerous insurance companies, primarily for motor and property portfolios.
Applied Stochastic Models and Data Analysis – Wiley
Published: Sep 1, 1995
Keywords: ; ;
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