Experience rating in insurance pricing
Seminar in Insurance and Economics
Please note that the talk takes place in Auditorium 3 of the August Krogh Building just opposite HCØ. Further details and a map can be found via https://www1.bio.ku.dk/english/about/premises/akb/.
SPEAKER: Mario V. Wüthrich (ETH Zurich).
TITLE: Experience rating in insurance pricing.
ABSTRACT: State-space models are widely used in many applications. In the domain of count data, one such example is the model proposed by Harvey and Fernandes (1989). Unlike many of its parameter-driven alternatives, this model is observation-driven, leading to closed-form expressions for the predictive density. In this presentation we extend the model of Harvey and Fernandes (1989) by allowing for a more flexible modeling w.r.t. its variance behavior. Our extension can accommodate for a wide range of variance processes that are either increasing, decreasing, or stationary, while keeping the tractability of the original model.