Abstract
A simple upper bound for the variance of the frequency estimates in a multivariate tariff using class criteria is deduced. This upper bound is based exclusively on univariate statistics and can therefore be calculated before a GLM analysis is carried out. It can be used to estimate the number of claims that will be needed for a tariff calculation depending on the number of tariff criteria and the number of levels of each criterion.
Keywords: Poisson, frequency, multiplicative tariff, generalised linear model, sample size.
Volume
Porto Cervo, Italy
Year
2000
Keywords
predictive analytics
Categories
Actuarial Applications and Methodologies
Ratemaking
Classification Plans
Financial and Statistical Methods
Statistical Models and Methods
Data Diagnostics
Financial and Statistical Methods
Loss Distributions
Frequency
Financial and Statistical Methods
Statistical Models and Methods
Generalized Linear Modeling
Publications
ASTIN Colloquium
