廣義線性模型在強制汽車責任保險的應用

An Application of Generalized Linear Model on the Pricing of Compulsory Automobile Liability Insurance

本文以廣義線性模型檢驗強制汽車責任保險的費率因子，並且套用二部模型以衡量年齡性別係數與違規肇事紀錄等級係數對損失頻率與損失幅度的影響。資料來源為2015年自用小客貨車。實證結果顯示：強制汽車責任保險的從人費率因子對損失頻率與損失幅度有不同的效果；依迴歸結果估計出來的費率係數與現行費率係數有些差距，而有的差距甚大，換言之，定期檢視與評估費率係數有其必要性。

This paper applies Generalized Linear Model on the pricing of Compulsory Automobile Liability Insurance. Premium rates of Compulsory Automobile Liability Insurance depend on three factors, record of violating traffic rules and accidents (or meriting rating), age, and gender. We apply two part models to estimate the effect of these rating factors on loss. Empirical results show that these rating factors have different effects on loss frequency and loss severity. In addition, ratings estimated from regression models have discrepancy from the current ones. The fact some of discrepancies are large warrants the constant review of ratings.