Corpus ID: 211010524

Predictive Risk Analysis in Collective Risk Model: Choices between Historical Frequency and Aggregate Severity

@article{Oh2020PredictiveRA,
  title={Predictive Risk Analysis in Collective Risk Model: Choices between Historical Frequency and Aggregate Severity},
  author={Rosy Oh and Young-June Lee and Dan Zhu and Jae Youn Ahn},
  journal={arXiv: Applications},
  year={2020}
}
Typical risk classification procedure in insurance is consists of a priori risk classification determined by observable risk characteristics, and a posteriori risk classification where the premium is adjusted to reflect the policyholder's claim history. While using the full claim history data is optimal in a posteriori risk classification procedure, i.e. giving premium estimators with the minimal variances, some insurance sectors, however, only use partial information of the claim history for… 

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