WG Risk :“Market-based insurance ratemaking”

The Working Group on Risk - CREAR, with the support of the ESSEC IDO dpt/Ceressec, Institut des actuaires, Labex MME-DII (CY), and the group Risques AEF - SFdS, has the pleasure to invite you to the seminar by :

Prof. Pierre-Olivier GOFFARD, UFR Mathématiques-Informatique, Université de Strasbourg, France

Pierre-Olivier GOFFARD is Maître de Conférences (Associate Prof.) in Applied Mathematics at the University of Strasbourg (UNISTRA). His research lies at the intersection of applied probability and statistics, particularly in insurance and finance. He supervises, along with Jean Bérard, the actuarial science program (DUAS) at UNISTRA. For more information, you can visit his website: https://pierre-olivier.goffard.me

“Market-based insurance ratemaking”

This paper introduces 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. To facilitate practical implementation, we have developed an R package called IsoPriceR. By addressing the challenge of pricing insurance policies in the absence of historical data, this method helps enhance pricing strategies in emerging markets.

Dual format:

ESSEC Paris La Défense (CNIT), Room TBA, and via Zoom, please click here .