Multilevel modeling of insurance claims using copulas

DOI10.1214/16-AOAS914zbMath1400.62238MaRDI QIDQ312930

Jean-Philippe Boucher, Peng Shi, Xiaoping Feng

Publication date: 9 September 2016

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoas/1469199895

zbMATH Keywords

longitudinal datacomposite likelihoodmultivariate regressioninsurance claimsproperty-casualty insuranceTweedie distribution

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Generalized linear models (logistic models) (62J12)

Related Items (26)

Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs ⋮ Analysis of ordinal and continuous longitudinal responses using pair copula construction ⋮ Knowledge Learning of Insurance Risks Using Dependence Models ⋮ Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims ⋮ Non-Life Insurance Risk Classification Using Categorical Embedding ⋮ A Time-Heterogeneous D-Vine Copula Model for Unbalanced and Unequally Spaced Longitudinal Data ⋮ Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns ⋮ A Bayesian approach to modeling multivariate multilevel insurance claims in the presence of unsettled claims ⋮ Diagnostic tests before modeling longitudinal actuarial data ⋮ Tweedie multivariate semi-parametric credibility with the exchangeable correlation ⋮ Individual claims reserving using activation patterns ⋮ Approximate Bayesian computations to fit and compare insurance loss models ⋮ A Tweedie Compound Poisson Model in Reproducing Kernel Hilbert Space ⋮ Rank-based inference tools for copula regression, with property and casualty insurance applications ⋮ K-Sample Test for Equality of Copulas ⋮ Pair Copula Constructions for Insurance Experience Rating ⋮ MULTIVARIATE MODELLING OF HOUSEHOLD CLAIM FREQUENCIES IN MOTOR THIRD-PARTY LIABILITY INSURANCE ⋮ Ratemaking in a changing environment ⋮ Can we weather proof our insurance? ⋮ A Unified Approach to Sparse Tweedie Modeling of Multisource Insurance Claim Data ⋮ Spatial copula-based modeling of claim frequency and claim size in third-party car insurance: a Poisson-mixed approach for predictive analysis ⋮ Multivariate modelling of multiple guarantees in motor insurance of a household ⋮ A modified pseudo-copula regression model for risk groups with various dependency levels ⋮ Tweedie double GLM loss triangles with dependence within and across business lines ⋮ Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models ⋮ On Fitting Dependent Nonhomogeneous Loss Models to Unearned Premium Risk

Uses Software

• Fahrmeir

Cites Work

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