A NEW MULTIVARIATE ZERO-INFLATED HURDLE MODEL WITH APPLICATIONS IN AUTOMOBILE INSURANCE

2022 ◽  
pp. 1-24
Author(s):  
Pengcheng Zhang ◽  
David Pitt ◽  
Xueyuan Wu
Keyword(s):  
Model Performance ◽  
Insurance Companies ◽  
Hurdle Model ◽  
Automobile Insurance ◽  
Insurance Company ◽  
Computational Statistics ◽  
Count Models ◽  
Insurance Portfolio ◽  
Insurance Business ◽  
One Year

Abstract The fact that a large proportion of insurance policyholders make no claims during a one-year period highlights the importance of zero-inflated count models when analyzing the frequency of insurance claims. There is a vast literature focused on the univariate case of zero-inflated count models, while work in the area of multivariate models is considerably less advanced. Given that insurance companies write multiple lines of insurance business, where the claim counts on these lines of business are often correlated, there is a strong incentive to analyze multivariate claim count models. Motivated by the idea of Liu and Tian (Computational Statistics and Data Analysis, 83, 200–222; 2015), we develop a multivariate zero-inflated hurdle model to describe multivariate count data with extra zeros. This generalization offers more flexibility in modeling the behavior of individual claim counts while also incorporating a correlation structure between claim counts for different lines of insurance business. We develop an application of the expectation–maximization (EM) algorithm to enable the statistical inference necessary to estimate the parameters associated with our model. Our model is then applied to an automobile insurance portfolio from a major insurance company in Spain. We demonstrate that the model performance for the multivariate zero-inflated hurdle model is superior when compared to several alternatives.

Employers' Liability Insurance

1931 ◽  
Vol 13 (1) ◽  
pp. 1-66 ◽  
Author(s):  
Hugh W. Brown
Keyword(s):  
Common Law ◽  
Liability Insurance ◽  
Insurance Companies ◽  
Insurance Company ◽  
Insurance Policy ◽  
Home Office ◽  
The Subject ◽  
Insurance Business ◽  
The Law ◽  
Workmen's Compensation

SynopsisUnder Common Law an employer has always been liable to his workmen for his own personal negligence, but it was not until 1897 that there was enacted the first of a series of Workmen's Compensation Acts which introduced a remarkable change in the law, inasmuch as the workman was given a statutory right to compensation for accident without requiring him to prove any negligence whatever.The evolution of the law relating to Workmen's Compensation is traced through the successive Acts of Parliament, and the provisions of the Workmen's Compensation Act 1925, which codifies the law on the subject, are summarised so far as they relate to the liability covered by an Insurance Policy. Under the Act the employer is liable for personal injury to his workmen by accident “arising out of and in the course of” the employment or by certain scheduled industrial diseases.An Insurance Policy covers the liability at Common Law and under the Employers' Liability Act 1880 as well as under the Workmen's Compensation Acts, and in addition makes the Insurance Company responsible for the cost of defending claims. The injured workman may have to consider whether he is likely to recover a larger sum by way of damages than he would receive in compensation by arbitration proceedings under the Workmen's Compensation Acts, and he can then elect which course to take.A description is given of the Returns of Compensations made by Insurance Companies to the Home Office on behalf of the employers in certain selected industries as required by the Workmen's Compensation Act 1925.The requirements of the Assurance Companies Act 1909 relating to Employers' Liability Insurance business are stated. In the Annual Returns to the Board of Trade under this Act, an Actuarial Valuation of the Outstanding Claims that have been in existence for five years or more is called for on an annuity basis, but no regulations are laid down for estimating the Liability in respect of Outstanding Claims of shorter duration. The present method is to take each of such claims and after considering the facts—nature of injury, rate of compensation, etc.—to make the best possible estimate of the ultimate cost to the Insurance Company. Later developments of the injury, however, may cause such estimate to be wide of the amount which the Company is called upon to pay. A plea is advanced for an investigation into the liability in respect of Outstanding Claims, in the hope that it may be found possible to arrive at average factors which could be used, with a suitable grouping of the Claims, to determine the Liability under the non-fatal Outstanding Claims from the first occasion of their becoming outstanding. When there is no recognised method based on past experience of making such an estimate, judgment may be influenced by factors not solely relevant to the ascertainment of the liability.All the leading Offices transacting Employers' Liability Insurance business are members of the Accident Offices Association. This Association was formed after the passing of the Workmen's Compensation Act 1906, by which the scope of workmen's compensation was widely extended. The Association controls the rates and policy conditions of the Tariff Offices, but as the regulations are in great measure confidential, detailed information can only be given regarding what is already common knowledge.A further step was taken in Government supervision of Insurance Companies by the Agreement made in 1923 between the Home Office and the Accident Offices Association, the effect of which is to limit to 37½% the expenses and profits in respect of the combined figures of the members of the Association.The trend of probable future legislation as recommended by the Departmental Committee in the Insurance Undertakings Bill is described, and the questions of Compulsory Insurance and State Insurance are touched upon.An account is given of an Undertaking made recently by the Accident Offices Association to furnish the Government with workmen's compensation statistics in connection with a Home Office Scheme of enquiry into the Incidence and Causation of Accidents.The subject is so extensive that it has only been possible to deal with it in broad outline, but in conclusion reference is made to various aspects that could with advantage be expanded.

scholarly journals An internal model for measuring premium risk when determining solvency of non-life insurers

2018 ◽  
Vol 63 (217) ◽  
pp. 99-127
Author(s):  
Jelena Kocovic ◽  
Marija Koprivica
Keyword(s):  
Internal Model ◽  
Fixed Ratio ◽  
Insurance Companies ◽  
Capital Requirement ◽  
Insurance Company ◽  
Life Insurance Company ◽  
Life Insurers ◽  
Insurance Portfolio ◽  
Compound Distribution ◽  
Premium Risk

Under contemporary dynamic approaches the solvency of insurance companies is determined by measuring the risks that threaten their business. This paper presents an internal model for measuring premium risk when evaluating the solvency of non-life insurers. The solvency capital requirement is calculated on the basis of a compound distribution of insurance portfolio aggregate claim amount, resulting from combining separately modelled claim frequency and severity distributions, with prior verification of earned technical premium sufficiency. The practical application of the model is illustrated by a case study of a specific non-life insurance company in Serbia. The research findings show that the dynamic model of premium risk measurement results in larger capital requirement and contributes to a more reliable assessment of insurers? solvency than the static model. This proves the inadequacy of the existing fixed ratio model and stresses the need for changes in the current methodology of determining the solvency of insurance companies in Serbia.

scholarly journals Formation of the optimal portfolio of insurer’s services of the voluntary types of insurance

2016 ◽  
Vol 7 (1) ◽  
pp. 45-51 ◽  
Author(s):  
Valentyna Levchenko ◽  
Myroslav Ostapenko
Keyword(s):  
Portfolio Optimization ◽  
Optimization Model ◽  
Optimization Problem ◽  
Optimal Portfolio ◽  
Optimal Structure ◽  
Insurance Companies ◽  
Insurance Company ◽  
Strategic Decisions ◽  
General Insurance ◽  
Insurance Portfolio

The article studies the possibility of using optimization modelling to form the optimal structure of insurance services’ portfolio of insurance companies. Based on the data of net insurance payments and profitability of the voluntary types of insurance in 2005-2015, the authors conducted their analysis according to the possibility to be included in the general insurance portfolio of the insurance company. The optimization model is based on the approach developed by G. Markowitz. The formation of insurance services portfolio is conducted by solving the optimization problem to maximize the portfolios’ profitability or to minimize the portfolio’s risks. The obtained results can be used in making strategic decisions by the management regarding the development of insurance companies. Keywords: insurance company, insurance service, insurance portfolio, portfolio optimization

scholarly journals THE PROBLEMS OF THE DOMESTIC REINSURANCE DEVELOPMENT IN CONDITIONS OF FINANCIAL INSTABILITY

2021 ◽  
Vol 3 (38) ◽  
pp. 154-161
Author(s):  
O. Stashchuk ◽  
O. Borysyuk ◽  
M. Datsyuk-Tomchuk
Keyword(s):  
Financial Stability ◽  
Rapid Development ◽  
Jel Classification ◽  
Insurance Companies ◽  
Financial Resources ◽  
Financial Instability ◽  
Insurance Company ◽  
Insurance Portfolio ◽  
The Individual ◽  
Insured Event

Abstract. Financial instability stems from the excessive volatility in the financial markets, the weakness of financial institutions and the inability of financial sector companies to fulfill their obligations, and it is no exception to insurance companies that do not have sufficient financial resources to reinsure. In modern conditions, reinsurance provides stability to the development of the insurers and is one of the most important tools that provides effective protection against various natural, man-made and other risks. The lack of financial resources of the insurance companies objectively determines the limitations of their ability to insure large risks. Reinsurance enables the insurance companies, by attracting funds from other insurers, to ensure the honest fulfillment of their obligations to insure payment at the onset of an insured event, while maintaining the stability of their financial situation. Admission to the insurance of expensive objects is dangerous for the individual insurer’s financial stability through the coverage of losses in the insured event. Admission to the insurance of expensive objects is dangerous for the individual insurer’s financial stability through the coverage of losses in the insured event. The need for reinsurance is due, among other things, to regulatory requirements for capital and assets and provides tools for rapid development of the insurance portfolio. Simultaneously reinsurance enables to protect the insurance portfolio from the influence on it of a series of large insurance risks, including catastrophic, so that the payment of insurance compensations on them does not pose a heavy burden on the one insurance company, but is carried out collectively by all participants in reinsurance. As a result, reinsurance allows you to take insurance risks that far outweigh the insurer’s own financial resources. Thus, the reinsurance system is a guarantee of financial stability of any insurance company, providing protection of its capital, and the basis for increasing the volume and quality of insurance services. In Article, the essence and significance of reinsurance in the conditions of globalization of the world economy were considered, as well as analysis of the main tendencies of the domestic reinsurance market development and the problems of its development in Ukraine were revealed. Keywords: insurance, financial instability, volatility, financial market, reinsurance, commission remuneration. JEL Classification E44, G20, G22, O16 Formulas: 0; fig.: 2; tabl.: 4; bibl.: 15.

FINANCIAL STABILITY MANAGEMENT OF THE INSURANCE COMPANY

2021 ◽  
Vol 3 (4) ◽  
pp. 128-135
Author(s):  
E. A. RUSETSKAYA ◽  
◽  
L. V. AGARKOVA ◽  
V. V. AGARKOV ◽  
◽  
...  
Keyword(s):  
Financial Stability ◽  
The State ◽  
Insurance Market ◽  
Insurance Companies ◽  
Insurance Company ◽  
Individual State ◽  
State Control ◽  
Management Decisions ◽  
State Institutions ◽  
Insurance Business

When substantiating the relevance of management decisions to ensure the financial stability of insurance companies, both for the insurers themselves and for individual state institutions, it is necessary to point out the tightening of the practice of state control and regulation of the insurance business in order to comply with the requirements of insurance legislation, protect the interests and rights of policyholders, insurers, the state and other subjects of the insurance market. The article is devoted to the study of the issues of financial stability of the insurance company and the substantiation of the mechanism for managing this category, which includes a sequence of interrelated stages. The priority directions for improving the mechanism for managing the financial stability of an insurance company are presented.

scholarly journals Simulation model of the insurance company management in market conditions

2021 ◽  
Author(s):  
Lesya Buiak ◽  
Kateryna Pryshliak ◽  
Oksana Bashutska
Keyword(s):  
Systems Analysis ◽  
Investment Strategy ◽  
Insurance Companies ◽  
Insurance Company ◽  
Mathematical Methods ◽  
Market Conditions ◽  
Optimal Decisions ◽  
Econometric Methods ◽  
Insurance Portfolio ◽  
The Subject

The article is devoted to the study of the financial mechanism and features of insurance companies and the development of economic and mathematical models for finding quantitative parameters of management of an insurance company in market conditions. The object of research is the activity of insurance companies of Ukraine. The subject of research is economic and mathematical methods and models in the system of optimal management of the insurance company in market conditions. Scientific research was conducted using the following methods: methods of systems analysis, econometric methods, methods of probability theory and mathematical statistics, simulation and stochastic modeling. The developed set of models allows to make optimal decisions in the conditions of unstable micro- and macroenvironment taking into account strengthening of a competition in the insurance market. The use of research results, including software to simulate the insurance company, provides flexibility in the management of pricing, cost policy, in the formation of the insurance portfolio, is a tool for choosing reinsurance and investment strategy to optimize the financial results of the insurance company.

scholarly journals The Utility of Zero-Inflated Models in the Estimation of the Number of Accidents in the Automobile Insurance Industry

Equilibrium ◽  
2010 ◽  
Vol 5 (2) ◽  
pp. 181-194
Author(s):  
Marija Del Carmen Melgar ◽  
Jose Antonio Ordaz
Keyword(s):  
Insurance Industry ◽  
Empirical Studies ◽  
Private Insurance ◽  
Positive Association ◽  
Insurance Companies ◽  
Automobile Insurance ◽  
Insurance Company ◽  
Count Data Models ◽  
Automobile Accidents ◽  
Private Insurance Company

The main purpose of the present paper is to provide an econometric model which estimates the number of automobile accidents that policyholders declare to their insurance companies, pointing out those variables that are significant in this process. Our empirical analysis is based on the data supplied by a private insurance company that operates in Spain, and on the zero-inflated count data models as methodology. We find a positive association between the levels of coverage and the accident rates, suggesting the existence of problems related to adverse selection and moral hazard. This result is one of the most important conclusions of our work and confirms the theoretical aspects pointed up by other empirical studies in the literature. Additionally, estimating the number of policyholders that suffered any accident but not declared, and how many these non-declared accidents are, could be very useful information for insurers to evaluate their risk planning. Our model attempts to reach this target as well.

scholarly journals Estimation of Reinsurance Risk Value Using the Excess of Loss Method

2020 ◽  
Vol 1 (1) ◽  
pp. 31-39
Author(s):  
Jumadil Saputra ◽  
Tika Fauzia ◽  
Sukono Sukono ◽  
Riaman Riaman
Keyword(s):  
Size Distribution ◽  
Insurance Companies ◽  
Claim Size ◽  
Insurance Company ◽  
Distribution Models ◽  
The Future ◽  
Claim Size Distribution ◽  
Insurance Business ◽  
Loss Method

As with any other business that has a risk of any incident in the future, the insurance business also needs protection against the risks that may arise in the company so that the company does not lose. Therefore, the need for anticipation in organizing any claims submitted by the insurance company to Reinsurance Company so that insurance company may assign any or all of the risks to reinsurance companies. In the method of reinsurance excess-of-loss there is a certain retention limits that allow reinsurance companies bear no claims incurred on insurance companies. The results of this study showed the average occurrence of claims and the risks that may be encountered by Reinsurance Company during the period of insurance. The magnitude of the risk assumed by the reinsurer relies on the model claims aggregation formed from individual claim size distribution models and distribution models the number of claims incurred in the period of insurance. Besides the magnitude of risk was also determined from the retention limit of insurance and reinsurance method used.

scholarly journals Accountability answers company insurance life based investing against the risk of failure to pay for policyholders

2022 ◽  
Vol 6 ◽  
Author(s):  
Selvi Harvia Santri ◽  
Yaswirman Yaswirman ◽  
Kurnia Warman ◽  
Wetria Fauzi
Keyword(s):  
Financial Institutions ◽  
Life Insurance ◽  
Joint Ventures ◽  
Research Method ◽  
Insurance Companies ◽  
Director General ◽  
Insurance Company ◽  
Insurance Claims ◽  
Study Results ◽  
Insurance Business

The problem of this research is how to regulate investment-based life insurance in Indonesia and the liability of investment-based life insurance companies against the risk of default by policyholders. This study uses a research method that has an empirical juridical type. The study results explain that the regulation of investment-based life insurance in Indonesia is regulated in Law Number 40 of 2014 concerning Business Per Insurance, OJK Regulation Number 23/POJK.05/2015 concerning Insurance Products and Marketing and Decree of the Chairman of BPPM and Financial Institutions Number KEP-104/ BL/2006 concerning Investment-based life insurance products. PP Number 87 of 2019 concerning insurance companies in the form of joint ventures, RI's Financial Decree Number 422/KMK.06/2003 and Director General of Financial Institutions Decree Number 2475/LK concerning investment insurance products and forms of liability of default insurance companies must fulfill the contents of the agreement insurance that gives rise to the rights and obligations of the insured reciprocally. However, Law Number 40 of 2014 concerning Insurance Business does not fully regulate violations in the insurance business and does not regulate how the insurance company is responsible for the company's inability to fulfill insurance claims.

ACHIEVING CUSTOMER SATISFACTION DEPENDING ON THE QUALITY OF SERVICE REQUIREMENTS OF INSURANCE COMPANIES IN IRAQ

2021 ◽  
Vol 3 (4) ◽  
pp. 253-263
Author(s):  
Marwa Jamal OMAR
Keyword(s):  
Quality Of Service ◽  
Customer Satisfaction ◽  
Service Quality ◽  
Organizational Performance ◽  
Insurance Companies ◽  
Insurance Company ◽  
Economic Sectors ◽  
Correlation Relationship ◽  
Insurance Portfolio

The issue of service quality has become a constant concern of writers and researcers as it affects all economic sectors. The level of services that the insurance company provides may be one of the factors that affect attracting the insured, especially if we take into consideration the multiplicity of insurance companies and the openness of Arab markets to international companies that offer the same insurance products. Accordingly, the quality of service is one of the most important variables that distinguish any company from its competitors. The most important factor in attracting new customers or retaining existing ones. Therefore, insurance companies seek to increase the quality of their services in order to increase their market share, enhance their competitiveness, and ensure survival. The descriptive approach was used in the research, and the questionnaire and interviews were among the most important tools used as well. The statistical program (SPSS) was used to analyze the results of the applied research and test hypotheses, and the National Insurance Company was the subject of the research study. A sample of (39) people were selected who received compensation from the fire insurance portfolio. For the purpose of testing hypotheses, many statistical methods were used, which helped in reaching specific results. In light of these results, a number of conclusions were reached, the most important of which is the existence of a correlation relationship between the variables of insurance service quality and customer satisfaction in the company in question. The results were consistent with the research hypotheses. Finally, the researcher put forward a set of recommendations to the company depending on the results of the research. Among the recommendations that were made is the establishment of a unit in the organizational structure that is concerned with the quality of organizational performance and is attached directly to the higher management. It should be called a department or unit of quality and reliability assurance

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