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- R code for Chapter 2 of Non-Life Insurance Pricing with GLM
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- R code for Chapter 2 of Non-Life Insurance Pricing with GLM | CYBAEA
- Case Study: Motorcycle Insurance
In the following, we will assume that the reader has a copy of the book and a working installation of R. We will be using the data. Note that Hadley broke the API to package ggplot2 so the code as it stands here will not work with the latest versions. This is one reason we normally use the lattice package instead and will take a little while to fix. We continue the moped insurance example, and we use the data that we saved in our Chapter 1 session. The goal is to reproduce Table 2.
R code for Chapter 2 of Non-Life Insurance Pricing with GLM
We next calculate the duration and number of claims for each level of each rating factor. We also set the contrasts for the levels, using the same idiom as in our Chapter 1 session.
The foreach package is convenient to use here, but you can of course do it with a normal loop and a couple of variables. Next, we need to build the frequency and severity models separately, as in the discussion at the beginning of section 2. The offset is log dur because our link function is log. The authors use the term Case Study for larger exercises. There is quite a lot to cover here, and some of the questions are more about discussing the results.
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We will focus on getting the results. First we read the fixed width data.
The column names are the same based on Swedish language as in the book. We are more than a little obsessed with documenting our data, so here goes. See the book for the details. Aggregate the data to the cells of the current tariff. Compute the empirical claim frequency and severity at this level. We really like the data.
The syntax is much easier on the eye and the hand. As a bonus, it scales well to much larger data sets than data. If you are not already using it, now is the time to start. Determine how the duration and number of claims is distributed for each of the rating factor classes, as an indication of the accuracy of the statistical analysis. EAA Series inform timely and at a high level on theoretical and practical aspects of e. EAA Series aim to serve as primary scientific reference for education, research, development and model validation. The type of material considered for publication includes lecture notes, monographs and textbooks.
The former should meet the European Core Syllabus for actuarial education. All submissions will be peer-reviewed. The timeliness of a manuscript is sometimes more important than its form, which may be preliminary or tentative. Focusing on life insurance and pensions, this book addresses various aspects of modelling in modern insurance: insurance liabilities; asset-liability management; securitization, hedging, and investment strategies.
R code for Chapter 2 of Non-Life Insurance Pricing with GLM | CYBAEA
With contributions from …. This is the third edition of this well-received textbook, presenting powerful methods for measuring insurance liabilities and assets in a consistent way, with detailed mathematical frameworks that lead to market-consistent values for liabilities. This handbook presents the basic aspects of actuarial loss reserving. Besides the traditional methods, it also includes a description of more recent ones and a discussion of certain problems occurring in actuarial practice, like inflation, scarce ….
Case Study: Motorcycle Insurance
This second edition expands the first chapters, which focus on the approach to risk management issues discussed in the first edition, to offer readers a better understanding of the risk management process and the relevant quantitative phases. In the. Reinsurance is an important production factor of non-life insurance.
The efficiency and the capacity of the reinsurance market directly regulate those of insurance markets. The purpose of this book is to provide a concise introduction to risk theo. Value- and risk-oriented management is a holistic method of managing businesses. In this book both actuarial methods and methods pertaining to classical internal control and classical risk management are used. Therefore the approach taken is neces. The book comprises selected contributions from several large research communities. Risk has been described in the past by a simple measure, such as the variance, and risk attitude is often considered simply a degree of risk aversion.
However, this viewpoint is usually not sufficient.