Modeling Loss Ratios | ||||
| The Egyptian Statistical Journal | ||||
| Article 6, Volume 35, Issue 1, June 1991, Page 81-94 | ||||
| Document Type: Original Article | ||||
| DOI: 10.21608/esju.1991.314996 | ||||
 View on SCiNiTO | ||||
| Author | ||||
| M.Y. El-Bassiouni | ||||
| Abstract | ||||
| The model introduced may be treated as a mixed two-way analysis of variance with fixed company effects and random time effects. Further, the risk volumes are integrated into the model in such a way that the unexplained variance is inversely proportional to the risk volume of each company. The proposed model is used to analyze loss ratio data from the general insurance market in Kuwait. The maximum likelihood estimates of the structural parameters are obtained. These estimates are then used to compute the predicted loss ratios and solvency margins for the four domestic insurance companies. | ||||
| Keywords | ||||
| Solvency Margins; General Insurance; Lognormal Distribution; ANOVA; Restricted Maximum Likelihood Estimators | ||||
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Statistics Article View: 22 |
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