Market-based insurance ratemaking: application to pet insurance
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2025
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| _version_ | 1866911530629464064 |
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| author | Goffard, Pierre-Olivier Piette, Pierrick Peters, Gareth W. |
| author_facet | Goffard, Pierre-Olivier Piette, Pierrick Peters, Gareth W. |
| contents | This paper introduces a method for pricing insurance policies using market data. The approach is designed for scenarios in which the insurance company seeks to enter a new market, in our case: pet insurance, lacking historical data. The methodology involves an iterative two-step process. First, a suitable parameter is proposed to characterize the underlying risk. Second, the resulting pure premium is linked to the observed commercial premium using an isotonic regression model. To validate the method, comprehensive testing is conducted on synthetic data, followed by its application to a dataset of actual pet insurance rates. To facilitate practical implementation, we have developed an R package called IsoPriceR. By addressing the challenge of pricing insurance policies in the absence of historical data, this method helps enhance pricing strategies in emerging markets. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2502_04082 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Market-based insurance ratemaking: application to pet insurance Goffard, Pierre-Olivier Piette, Pierrick Peters, Gareth W. Applications 62P05, 91G70, 62F15 This paper introduces a method for pricing insurance policies using market data. The approach is designed for scenarios in which the insurance company seeks to enter a new market, in our case: pet insurance, lacking historical data. The methodology involves an iterative two-step process. First, a suitable parameter is proposed to characterize the underlying risk. Second, the resulting pure premium is linked to the observed commercial premium using an isotonic regression model. To validate the method, comprehensive testing is conducted on synthetic data, followed by its application to a dataset of actual pet insurance rates. To facilitate practical implementation, we have developed an R package called IsoPriceR. By addressing the challenge of pricing insurance policies in the absence of historical data, this method helps enhance pricing strategies in emerging markets. |
| title | Market-based insurance ratemaking: application to pet insurance |
| topic | Applications 62P05, 91G70, 62F15 |
| url | https://arxiv.org/abs/2502.04082 |