Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims

DOI10.1016/J.INSMATHECO.2021.12.001zbMath1484.91410OpenAlexW4200000629MaRDI QIDQ2670111

Ramon Alemany, Catalina Bolancé, Raluca Vernic

Publication date: 10 March 2022

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.12.001

zbMATH Keywords

frequencydependenceSarmanov distributionparameters estimationseverity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Uses Software

• LBFGS-B

Cites Work

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• ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION
• A Limited Memory Algorithm for Bound Constrained Optimization
• Bonus-Malus premiums under the dependent frequency-severity modeling

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