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A Mixed Model for Loss Ratio Analysis

Published online by Cambridge University Press:  29 August 2014

M. Y. El-Bassiouni
M. Y. El-Bassiouni*
Affiliation:
Department of Statistics and Insurance, Faculty of Commerce, Kuwait University, Kuwait.
*
Department of Insurance and Statistics, Faculty of Commerce, P.O. Box 5486 Safat, 13055, Kuwait.
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Abstract

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The model introduced may be treated as a mixed two-way analysis of variance with fixed company effects and random time effects. Further, the risk volumes are integrated into the model in such a way that the unexplained variance is inversely proportional to the risk volume of each company. The proposed model is used to analyze loss ratio data from the general insurance market in Kuwait. The maximum likelihood estimates of the structural parameters are obtained. These estimates are then used to compute the loss ratios and solvency margins for the four domestic insurance companies.

Keywords

General insurancelognormal distributionrestricted maximum likelihood estimatorsrisk volumesolvency margins
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 21 , Issue 2 , November 1991 , pp. 231 - 238
Copyright
Copyright © International Actuarial Association 1991

References

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