文档介绍：Alternative uses of GLMs
2002 CAS Annual Meeting
Claudine Modlin, FCAS
Watson Wyatt Insurance & Financial Services
Generalized linear models
Statistically measure the effect that variables have on an observed item
In insurance, most often used to determine the effect rating variables have on claims experience
Alternative uses of GLMs
Variations on claims modeling
profitability scores
sales channel analysis
Uses in reserving
projecting loss triangles
initial reserve estimates
Retention modeling
Factor effect analysis
What if rates cannot be changed?
Profitability scoring
Construct profitability score based on expected loss ratio
Profitability score can then be used to target sections of a portfolio
Profitability score – offset term
E[Y] = m = g-1( + x) Var[Y] = f V(m) / w
Offset term (x) can be used to constrain the model for either
natural known effects (eg claim counts are proportional to exposures)
artificial effects (eg mandated premium)
In this case can be used to measure effect of factors on claims over and above that implicit in the premium rates
Amt
Freq
Amt
Freq
Amt
Freq
Amt
Freq
Amt
Freq
BI
x
= Cost 1
PD
x
= Cost 2
COL
x
= Cost 4
MED
x
= Cost 3
OTC
x
= Cost 5
Modeling the cost of claims