Open AccessOn Premium Estimation Using the C&RT/Poisson Model and Its Extensions
Author(s) -
Maike Käärik,
Ants Kaasik
Publication year - 2012
Publication title -
lithuanian journal of statistics
Language(s) - English
Resource type - Journals
ISSN - 2029-7262
DOI - 10.15388/ljs.2012.13904
Subject(s) - portfolio , overdispersion , vasicek model , poisson distribution , estimation , homogeneous , cluster analysis , insurance premium , econometrics , estonian , mathematics , actuarial science , economics , statistics , financial economics , linguistics , finance , combinatorics , philosophy , bond , count data , management
Premium estimation is a key concept in insurance mathematics. Estimation of the mean andvariance of a total claim amount of a portfolio can be considered as necessary prerequisites for this. Inturn, dividing the portfolio into homogeneous subportfolios can be considered as a rst step towards ndingthose estimates. We consider the problem of estimating the claim intensity and propose a regressiontrees based approach for clustering the portfolio into homogeneous subportfolios in a situation where thedurations of the policies dier and overdispersion is present. Several other generalizations are discussed.A case study involving Estonian casco insurance is included.