华信惠悦 - ALTERNATIVE USES OF GLMS教程教案.pptVIP

Alternative uses of GLMs ;Alternative uses of GLMs;Factor effect analysis;Factor effect analysis;What if rates cannot be changed?;Profitability scoring;Profitability score – offset term; ;Consider current exposure Ignore claims Calculate expected frequency and amount for each claim type Combine to give expected total cost of claims Fit model to this expected value;Calculation of risk premium;Profitability score – offset term;Case study: UK bank;Alternative uses of GLMs;Sales channel analysis;Identifying mix of business;Identifying cross-subsidies;Compare one-way to GLM;Alternative uses of GLMs;Projecting loss triangles;Projecting loss triangles;Agenda;Initial reserve estimates (a priori);Initial reserve estimates (once reported);Initial reserve estimates (further development);Initial reserve estimates (at various points in time);Alternative uses of GLMs;Data required;Most companies have data on renewal offers;If details of individual quotes known, can be modeled in similar way Otherwise much simpler analysis is all that can be undertaken;What to consider;What to consider;Effect of age of policyholder on lapses;Effect of premium change on lapses;Competitive indices;;Statistical assumptions;Practical tip on competitiveness;GLM shows effect all other factors being equal For varying premium all other factors are never equal Results, while statistically correct can be very hard to interpret, for example adding premium size can reverse the multivariate result for age of driver Consider fitting separate models for different premiums bands;Measuring premium change;Customer expectations of premium change try to isolate rate change from risk criteria change consider premium change adjusted for change in risk criteria (ie new rates for new risk / old rates for new risk);Why model lapses / new business?;Risk;Lifetime expense loads;Price elasticity;Price elasticity;Price elasticity;Rate level adjustments;Portfolio;Modeling the futureIndividual policy lifetime projection;Alterna