Nonlife ratemaking with Bayesian GAM's

Denuit, Michel;Lang, S.
(2004) Insurance: Mathematics and Economics — Vol. 35, p. 627-647 (2004)

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Abstract
This paper aims to propose modern rate-making techniques based on Generalized Additive Models (GAMs) and extensions. The method accounts for discrete, continuous, categorical and spatial risk factors in a Bayesian framework. It uses computer-intensive simulation methods for statistical inference. Numerical illustrations based on a Belgian MTPL portfolio enhance the interest of the approach.
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  • Louvain School of Management

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Denuit, M., & Lang, S. (2004). Nonlife ratemaking with Bayesian GAM’s. Insurance: Mathematics and Economics, 35, 627-647. https://doi.org/10.1016/j.insmatheco.2004.08.001 (Original work published 2004)