Abstract:
This article deals with the issue of creating homogenous tariff classes of non-life insurance and modelling the cost of standard claims of each tariff class. We use a Generalized Linear Models (GLM) for the purpose of finding significant risk factors and also to determine the cost of standard claims of the individual tariff classes. The theoretical part will be completed by application on a typical heterogeneous portfolio of the Motor Third Party Liability (MTPL). All calculations were performed using the R software. The result of the GLM is a multiplicative model where the cost of standard claim of a particular tariff class is given as a product of the cost of standard claim of the reference class and the relativities of the tariff class.
