Applications of Actuarial Model in Automobile Insurance Claim

In this paper we apply actuarial models to detailed, micro-level automobile insurance records. As we know, third party insurance is an important major for both policyholders and insurance companies. We model claim frequency, type and severity of third party insurance claims by incorporating different individual and vehicle risk factors such as vehicle age, vehicle usage, vehicle capacity and number of claim discount. This allows the actuary to differentiate prices based on policyholder characteristics. In addition, by using various risk measures, including value at risk and tail value at risk we predict the insurance company capital requirement. Finally, we assess the effects of dependence structure on these measures by using copula models. The results show that the copula effect increases with the percentile.