EAN: 9783631597590

RISK CLASSIFICATION BY MEANS OF CLUSTERING - BE...

Determining risk-adequate insurance premiums is a core issue in actuarial mathematics. This
study is specifically concerned with identifying convenient partitions of (general) insurance
collectives such that the resulting tariff classes are homogeneous to a maximum extent and - on
the other hand - yet large enough to allow for the occurrence of the group balance concept and
to end up with reliable estimates of the moments of the claim size distributions. Therefore 
the author develops an innovative classification algorithm utilizing a multidimensional cluster
approach combined with credibility-theoretical implications. Its construction stems from
involving the entire claim information of risks simultaneously and in a suitable manner  and
particulary from obtaining optimality regarding the cluster criterions. Under certain
conditions  commonly used cross classification schemes are shown to be a particular case of the
new approach. Besides desirable theoretical benefits like its generalizing established cross
classification systems  an empirical investigation also suggests the practical superiority of
the new algorithm.

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