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Document Details : Title: Modelling Mortgage Insurance Claims Experience Subtitle: A Case Study Author(s): TAYLOR, Greg Journal: ASTIN Bulletin Volume: 24 Issue: 1 Date: May 1994 Pages: 97-129 DOI: 10.2143/AST.24.1.2005084 Abstract : Mortgage insurance indemnifies a mortage lender against loss on default by the borrower. The sequence of events leading to a claim under this type of insurance is relatwely complex, depending not only on the credlt worthiness of the borrower but also on a number of external economic factors. Prormnent among these external factors are the loan to valuation ratio of the insured loan, the disposable income of the borrower, and movements in property values A broad theoretical model of the functional dependencies of claim frequency and average claim size on these variables is estabhshed in Sections 6 and 7. Section 8 fits these models, extended by other "internal" variables such as the geographic location of the mortgaged property, to a real data set. Section 9 compares the fitted model with the data, and finds an acceptable fit despite extreme fluctuations m the claims experience recorded in the data set. |
