1. Concordia University


    Workshops & seminars

    Mathematics & Statistics visitor seminar

    Application of Random Effects in Dependent Compound Risk Model

    Date and time
    Date & time

    January 10, 2020
    10 a.m. – 11:15 a.m.


    Room 921-4
    J.W. McConnell Building
    1400 De Maisonneuve W.
    Sir George Williams Campus


    This event is free

    Wheelchair accessible
    Wheelchair accessible



    Ms. Geraldine Ford

    SPEAKER: Mr. Himchan Jeong

    (University of Connecticut, CT)

    ABSTRACT:  In ratemaking for general insurance, the calculation of a pure premium has traditionally been based on modeling both frequency and severity in an aggregated claims model. Additionally for simplicity, it has been a standard practice to assume the independence of loss frequency and loss severity. However, in recent years, there has been sporadic interest in the actuarial literature exploring models that departs from this independence. Besides, usual property and casualty insurance enables us to explore the benefits of using random effects for predicting insurance claims observed longitudinally, or over a period of time.  Thus, in this article, a research work is introduced with utilizes random effects in dependent two-part model for insurance ratemaking, testing the presence of random effects via Bayesian sensitivity analysis with its own theoretical development as well as empirical results and performance measures using out-of-sample validation procedures.

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