Auto Insurance Premium Calculation Using Generalized Linear Models

The non-life insurance pricing consists of establishing a premium or a tariff paid by the insured to the insurance company in exchange for the risk transfer. A usual way to obtain the insurance premium is to combine the conditional expectation of the claim frequency with the expected claim amount. The aim of this paper is to presents an overview of the Generalized Linear Models techniques in order to calculate the pure premium given the observable characteristics of the policyholders. A numerical illustration based on a French auto insurance portfolio is performed with the statistical software SAS.