Please use this identifier to cite or link to this item: http://ddms.usim.edu.my:80/jspui/handle/123456789/19305
Title: Bayesian Statistical Modeling of Claim Frequency for Auto Insurance
Authors: Muhammad 'Afif Bin Amir Husin
Keywords: claim frequency
WAIC
Bayesian
Zero-Inflated
DIC
Issue Date: Apr-2018
Publisher: Universiti Sains Islam Malaysia
Abstract: Auto insurance has become a necessity for Malaysian, making it important to model the claims data so that permiums can be derived with fair and equitable price. This study aims to investigate the best model to fit the data for claims frequency of Malaysia vehicle insurance which composed of 1.21 million policies. These policies comprised of three types of coverages namely Own Damage (OD), Third Party Property Damage (TPPD) and Third Party Bodily Injury (TPBI).First the frequency data is fit to Bayesian regression models using Poisson, Negative Binomial and Generalized Poisson distribution. After that, all three models are compared with their respective zero-inflated models to analyse the effectiveness of zero-inflated model in handling auto insurance claims data. For the purpose of measurement of good fit, two criteria have been chosen which are Deviance Information Criteria (DIC) and Watanabe-Akaike Information other models evaluated using DIC while Zero-Inflated Negative Binomial have been superior to other models with respect to WAIC.
URI: http://ddms.usim.edu.my:80/jspui/handle/123456789/19305
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