"Market-based insurance ratemaking" by Pierre-Olivier Goffard (U Strasbourg, France)

Event Date: 

Monday, May 20, 2024 - 3:30pm to 4:30pm

Event Location: 

  • Sobel seminar room (South Hall 5607F)

Research seminar by Pierre-Olivier Goffard,  Associate Professor in applied mathematics and actuarial science at l'Université de Strasbourg, France.

Title: Market-based insurance ratemaking

Abstract:  This talk discusses a method for pricing insurance policies using market data. The approach is designed for scenarios in which the insurance company seeks to enter a new market lacking historical data. The methodology involves an iterative two-step process. First, a suitable parameter is proposed to characterize the underlying risk. Second, the resulting pure premium is linked to the observed commercial premium using an isotonic regression model. To validate the method, comprehensive testing is conducted on synthetic data, followed by its application to a dataset of actual pet insurance rates.