Actuarial risk classification studies are typically confined to univariate, policy-based analyses: Individual claim frequencies are modelled for a single product, without accounting for the interactions between the different coverages bought by the members of the same household. Now that large amounts of data are available and that the customer's value is at the heart of insurers' strategies, it becomes essential to develop multivariate risk models combining all the products subscribed by the members of the household in order to capture the correlation effects. This paper aims to supplement the standard actuarial policy-based approach with a household-based approach. This makes the actuarial model more complex but also increases the volume of available information which eases and refines forecasting. Possible cross-selling opportunities can also be identified.
