Abstract
The main objective of the present study is to fit a model to the motor insurance data for forecasting the own damage claim amount obtained from the Insurance Industry covering the period of 36 years. In this research study, the Box-Jenkins financial econometric approach has been used to build the Auto-Regressive Integrated Moving Average (ARIMA) model for the data by considering standard deviation (SD) statistic covering the time series data from 1981 to 2016. The analysis fits well with ARIMA (1, 0, 1), representing a good fit for the data sets. The diagnostic test further indicated that ARIMA (1, 0, 1) is stable and acceptable for predicting own damage claim data. We have also predicted the future own damage claim amount, which helps the insurance companies to budget their requirement for future planning for the claim data.
Published Version
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