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Recent years have seen a considerable upsurge in the use of Generalised Linear Models (GLMs) to carry out technical pricings of domestic (and other) lines. The paper by Brockman and Wright (1992) detailed some of the fundamentals of the application of GLMs. This paper attempts to build on that earlier one. There are many practical issues which arise repeatedly in applications. An attempt is made here to identify these issues, establish a framework for dealing with them, and reduce as many as possible to a routine. Section 3 addresses the matching of risk premiums to claims experience after a GLM has been used to estimate all premium relativities, i.e. cell-to-cell ratios. Subsequent sections deal with modelling the relativities themselves. Section 6 covers various issues concerned with the selection of a model structure and estimation of its parameters. Section 7 discusses the validation of the model. Section 8 discusses the response of the model to No Claim Discount and deductibles, two subjects which do not fit easily into the GLM framework. Section 9 summarizes as much as pogsible of the discussion into a protocol, set out in flowchart form.
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