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UID:8878@i2m.univ-amu.fr
DTSTART;TZID=Europe/Paris:20251020T140000
DTEND;TZID=Europe/Paris:20251020T150000
DTSTAMP:20251014T153807Z
URL:https://www.i2m.univ-amu.fr/evenements/risk-model-with-dependent-frequ
 ency-and-severity-for-liability-and-housing-insurance/
SUMMARY:Renata Gomes Alcoforado (Actuarial Science Professor\, Federal Univ
 ersity of Pernambuco): Risk model with dependent frequency and severity fo
 r Liability and Housing Insurance
DESCRIPTION:Renata Gomes Alcoforado: A common assumption in classical risk 
 theory is the independence between claim frequency and severity. However\,
  this often fails in practice\, especially when subtle or nonlinear depend
 encies are present. This study analyzes a real-world dataset comprising 15
 \,665 claims from housing and liability insurance contracts\, recorded bet
 ween 01/01/2015 and 31/12/2019\, provided by an anonymous insurer. Unlike 
 most literature focused on automobile insurance\, our data allow us to exp
 lore dependence in less-studied lines of business\, which pose unique chal
 lenges.\nWe investigate the presence and nature of dependence between freq
 uency and severity\, and how this relationship evolves over time and acros
 s insurance types. Our approach combines parametric and nonparametric meth
 ods: we fit Poisson-Inverse Gaussian\, Negative Binomial\, Weibull\, and L
 og-Normal distributions to the marginals\, and apply copula-based techniqu
 es to assess joint behavior. Using pseudo-observations\, we estimate empir
 ical copulas\, visualize joint densities\, and perform statistical tests o
 f independence and equality (KcopTest)\, which reveal a structural break i
 n housing insurance in 2016.\nResults indicate strong positive dependence 
 in liability insurance. In housing insurance\, we find near-independence i
 n most years\, but a weak and significant negative dependence in 2016. Fin
 ally\, GAMLSS models confirm diverging patterns: in liability insurance\, 
 severity increases with frequency\; in housing insurance\, it decreases\, 
 in contrast to findings by Garrido (2016). We discuss implications for pri
 cing\, reserving\, and solvency assessment under dependence.
CATEGORIES:Séminaire,Statistique
LOCATION:Saint-Charles - Amphi Massiani\, 3 place Victor Hugo\, Marseille\,
  France
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 ille\, France;X-APPLE-RADIUS=100;X-TITLE=Saint-Charles - Amphi Massiani:ge
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DTSTART:20250330T030000
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