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Modelling insurance claims with spatial point processes: An applied case-control study to improve the use of geographical information in insurance pricing
Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
2015 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

An important prerequisite for running a successful insurance business is to predict

risk. By forecasting the future in as much detail as possible, competitive advantages are

created in terms of price differentiation. This work aims at using spatial point processes

to provide a proposal for how the geographical position of the customer can be used

in developing risk differentiation tools. For spatial variation in claim frequency an approach

is presented which is common in spatial epidemiology by considering a group of

policyholders, with and without claims, as a realisation of a multivariate Poisson point

process in two dimensions. Claim costs are then included by considering the claims as a

realisation of a point process with continuous marks. To describe the spatial variation in

relative risk, demographic and socio-economic information from Swedish agencies have

been used. The insurance data that have been used come from the insurance company If

Skadeförsäkring AB, where also the work has been carried out. The result demonstrates

problems with parametric modelling of the intensity of policyholders, which makes it

difficult to validate the spatial varying intensity of claim frequency. Therefore different

proposals of non-parametric estimation are discussed. Further, there are no tendencies

that the selected information is able to explain the variation in claim costs.

Abstract [sv]

En viktig förutsättning för att kunna bedriva en framgångsrik försäkringsverksamhet

är att prediktera risk. Genom att på en så detaljerad nivå som möjligt kunna förutse

framtiden skapas konkurrensfördelar i form av prisdifferentiering. Målet med detta

arbete är att med hjälp av spatiala punktprocesser ge ett förslag på hur kunders geografiska

position kan utvecklas som riskdifferentieringsverktyg. För spatial variation i

skadefrekvens presenteras ett tillvägagångssätt som är vanligt inom spatial epidemiologi

genom att betrakta en grupp försäkringstagare, med och utan skador, som en realisering

av en multivariat Poissonprocess i två dimensioner. Skadekostnaderna inkluderas

sedan genom att betrakta skadorna som en punktprocess med kontinuerliga märken.

För att beskriva spatial variation i relativ risk används demografisk och socioekonomisk

information från svenska myndigheter. De försäkringsdata som använts kommer från If

Skadeförsäkring AB, där också arbetet har utförts. Resultatet påvisar problem med att

parametriskt modellera intensiteten för försäkringstagare, vilket medför svårigheter att

validera den skattade spatiala variationen i skadefrekvens, varför olika ickeparametriska

förslag diskuteras. Vidare upptäcktes inga tendenser till att variationen i skadekostnad

kan förklaras med den utvalda informationen.

Place, publisher, year, edition, pages
2015. , 55 p.
Keyword [en]
spatial point processes, marked point processes, case-control, spatial epidemiology
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:umu:diva-108431OAI: oai:DiVA.org:umu-108431DiVA: diva2:852994
External cooperation
If Skadeförsäkring AB
Educational program
Master of Science in Engineering and Management
Supervisors
Examiners
Available from: 2015-09-11 Created: 2015-09-10 Last updated: 2015-09-11Bibliographically approved

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