Auto Loss Costs: Dynamic Linear Models with Changepoints

Sponsored By

Society of Actuaries, American Property Casualty Insurance Association, Casualty Actuarial Society

Report Description

In this paper a new model is developed to better understand the complicated dynamics in personal auto insurance. A dynamic linear model with seasonality, regression on congestion, and a linear trend with a changepoint is designed.


Auto Loss Costs: Dynamic Linear Models with Changepoints


The authors are grateful for the thoughtful feedback and support of the members of the project oversight group; Joan Barrett, Kevin Brazee, Dave Clark, Dave Core, David DeNicola, Peter Drogan, Brian Fannin, Russell Fox, Rick Gorvett, Dale Hall, Chris Harris, Linda Jacob, Ben Kimmons, Tyler Lantman, Scott Lennox, James Lynch, Kim MacDonald, Lawrence Marcus, Rob Montgomery, Thomas Myers, Norman Niami, Bob Passmore, Dave Prario, Jacob Robertson, Michelle Rockafellow, Erika Schulty, Janet Wesner, and Ken Williams.



Research Insights - Auto Loss Costs Dynamic Linear Models with Changepoints

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