On Premium Estimation Using the C&RT/Poisson Model and Its Extensions
Articles
Meelis K¨a¨arik
University of Tartu, Estonia
Ants Kaasik
University of Tartu, Estonia
Published 2012-12-20
https://doi.org/10.15388/LJS.2012.13904
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Keywords

actuarial mathematics
collective risk model
premium calculation

How to Cite

K¨a¨arik M. and Kaasik A. (2012) “On Premium Estimation Using the C&RT/Poisson Model and Its Extensions”, Lithuanian Journal of Statistics, 51(1), pp. 36-50. doi: 10.15388/LJS.2012.13904.

Abstract

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.
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