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A0410
Title: On the dependence between frequency-severity and bonus-malus systems Authors:  Jae Youn Ahn - Ewha Womans University (Korea, South) [presenting]
Sojung Park - Seoul National University (Korea, South)
Joseph Hyun Tae Kim - Yonsei University (Korea, South)
Woojoo Lee - Inha University (Korea, South)
Abstract: Auto rate models traditionally have assumed independence between claim frequency and severity. With the invention of compound risk models which can accommodate dependence between claim frequency and severity, series of recent insurance literature revealed the dependence between frequency and severity. We first study the property of various statistical models which can accommodate the dependence between frequency and severity. With the help of such models, we found that the sign of dependence varies; liability claim data showed positive dependence whereas collision data showed negative dependence. We hypothesize that the dependence can be driven by bonus hunger phenomenons in bonus-malus systems, and this can explain the different dependency results from liability and collision data. Through the simulation study and data analysis, we confirm the hypothesis.