Testing Constant Serial Dynamics in Two-Step Risk Inference for Longitudinal Actuarial Data
In non-life insurance, policies are often renewed annually or semi-annually and renewal premiums rely heavily on the policyholder's past claim history. To accurately price the renewal contracts, it is crucial to properly understand various aspects of the longitudinal actuarial data, including the conditional marginal distributions, serial dependence, and serial dynamics of the claims before the future claim distribution can be reasonably predicted.\N\NWhen a risk manager needs to forecast value at risk (VaR) in a given year, a two-step inference procedure is employed in the literature: logistic regression for modeling the probability of having nonzero claims and quantile regression for modeling VaR at an adjusted risk level computed from the logistic regression.\N\NTo apply this method to longitudinal actuarial data, it is necessary to specify serial dynamics, where a constant dynamic is the simplest structure. The authors develop a test for constant serial dynamics. The proposed test uses a two-step inference to forecast risk, constructs a test statistic by these risk forecasts, and calculates the \(p\)-value by the random weighted bootstrap method. Two simulations are performed to empirically justify the finite-sample performances. The proposed test is also applied to four datasets, revealing varying serial dynamic behaviors across different datasets and different parts of the claim distributions.
- A class of mixture of experts models for general insurance: application to correlated claim frequencies
- A dependent frequency-severity approach to modeling longitudinal insurance claims
- A multi-year microlevel collective risk model
- An application of two-stage quantile regression to insurance ratemaking
- Approximation theorems of mathematical statistics
- Diagnostic tests before modeling longitudinal actuarial data
- Limiting distributions for \(L_1\) regression estimators under general conditions
- Longitudinal modeling of insurance claim counts using jitters
- Multivariate modelling of household claim frequencies in motor third-party liability insurance
- Optimal bonus-malus systems using finite mixture models
- Pair copula constructions for insurance experience rating
- Predictive compound risk models with dependence
- Quantile regression.
- The multivariate mixed negative binomial regression model with an application to insurance a posteriori ratemaking
- Three-step risk inference in insurance ratemaking
- Two-step risk analysis in insurance ratemaking
- Using quantile regression for rate-making
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