Estratégia ótima para declarar perdas no mercado de seguros de automóveis

Abstract

Upon analyzing an extensive database on the Brazilian auto insurance market, we found a stylized fact: the frequency of claims is higher in the first months of the contract. In order to explain this fact, we propose a modified version of Venezia and Levy (1980) model, in which we show that pseudodeductible is lower at the beginning of the contract. The pseudodeductible is an unobservable threshold, higher than the deductible stipulated in the contract, below which the insuree has an incentive not to claim his losses. Given that the pseudodeductible is smaller at the beginning of the contract, the model predicts that there will be a higher frequency of losses (of lower value) being claimed in this period. In order to test this prediction, we regressed the logarithm of indemnities against dummies that indicate the time of the contract, and we found that in the first trimester of the contract the average value of claimed losses is approximately 2.21% lower than the second trimester. This information can be used by insurers to adjust deductibles in the first months of contracts in order to reduce their claim rates.