Pricing risk contribution of general Takaful by spatial generalized linear mixed models at the level of tariff cells

Reza Hajipour Farsangi, Ghadir Mahdavi, Majid Jafari Khaledi, Murat Büyükyazıcı, Mitra Ghanbarzadeh
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Abstract

Purpose

This study aims to price the risk contribution of general Takaful at the level of tariff cells, considering a spatial dependency framework.

Design/methodology/approach

Three different models, including a generalized linear model, a generalized linear mixed model (GLMM) and a spatial generalized linear mixed model (SGLMM), according to the actuarial modeling of general Takaful, are used to price pure risk contribution (PRC).

Findings

The results reveal that the SGLMM yields more accurate predictions of the PRC compared to the other models, emphasizing the significance of spatial modeling in this context. Following the estimation of the PRC, the gross contribution according to the mechanism of Takaful models is calculated considering the spatial model.

Practical implications

Considering the similarities between Takaful and insurance, this study addresses the pricing of general Takaful within different Takaful models through a spatial dependency framework, such that the practical implications of the study are applicable for running Takaful's business in both Islamic and non-Islamic countries.

Originality/value

Most studies consider only the social or practical view of Takaful. This study contributes to the broader knowledge and understanding of Takaful by presenting a conceptual understanding of Takaful and then investigates the practical application of pricing risk contribution using innovative modeling of claim frequency and severity at the level of tariff cells.

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通过费率单元层面的空间广义线性混合模型对一般回教保险的风险贡献进行定价
设计/方法/途径根据一般回教保险的精算模型,采用了三种不同的模型,包括广义线性模型、广义线性混合模型(GLMM)和空间广义线性混合模型(SGLMM),对纯风险贡献(PRC)进行定价。研究结果结果表明,与其他模型相比,SGLMM 对 PRC 的预测更为准确,这强调了空间模型在这方面的重要性。考虑到回教保险与保险之间的相似性,本研究通过空间依赖性框架解决了不同回教保险模型中一般回教保险的定价问题,从而使本研究的实际意义适用于伊斯兰国家和非伊斯兰国家的回教保险业务。本研究通过提出对回教保险的概念性理解,然后通过在费率单元层面对索赔频率和严重程度进行创新建模,对风险贡献定价的实际应用进行研究,从而促进对回教保险更广泛的认识和理解。
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来源期刊
CiteScore
5.40
自引率
10.00%
发文量
45
期刊介绍: The International Journal of Islamic and Middle Eastern Finance and Management (IMEFM) publishes quality and in-depth analysis on current issues within Islamic and Middle Eastern finance and management. The journal welcomes strong evidence-based empirical studies and results-focused case studies that share research in product development and clarify best practices. The title is also keen to consider work from emerging authors. IMEFM has just also accepted into Clarivate''s SSCI in 2018, and its IF will be available in summer 2019, with citations dating from 2016. The coverage includes but is not limited to: -Islamic finance: Fundamentals, trends and opportunities in Islamic Finance, Islamic banking and financial markets, Risk management, Corporate finance, Investment strategy, Islamic social finance, Financial planning, Housing finance, Legal and regulatory issues, -Islamic management: Corporate governance, Customer relationship management and service quality, Business ethics and corporate social responsibility, Management styles and strategies in Shariah environments, Labour and welfare economics, Political economy. The journal is the only title aiming to give an interdisciplinary and holistic view on Islamic finance and business management practices in order to inform these two intertwined communities.
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