Bivariate distribution regression with application to insurance data
From MaRDI portal
Abstract: Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision making given observed circumstances. This article presents an estimation method for modeling the conditional joint distribution of bivariate outcomes based on the distribution regression and factorization methods. This method is considered semiparametric in that it allows for flexible modeling of both the marginal and joint distributions conditional on covariates without imposing global parametric assumptions across the entire distribution. In contrast to existing parametric approaches, our method can accommodate discrete, continuous, or mixed variables, and provides a simple yet effective way to capture distributional dependence structures between bivariate outcomes and covariates. Various simulation results confirm that our method can perform similarly or better in finite samples compared to the alternative methods. In an application to the study of a motor third-part liability insurance portfolio, the proposed method effectively estimates risk measures such as the conditional Value-at-Risks and Expexted Sortfall. This result suggests that this semiparametric approach can serve as an alternative in insurance risk management.
Recommendations
- Joint generalized quantile and conditional tail expectation regression for insurance risk analysis
- Skewed bivariate models and nonparametric estimation for the CTE risk measure
- Multilevel modeling of insurance claims using copulas
- Bivariate Mixed Poisson Regression Models with Varying Dispersion
- Compound Poisson-Lindley process with sarmanov dependence structure and its application for premium-based spectral risk forecasting
Cites work
- A Correlated Probit Model for Joint Modeling of Clustered Binary and Continuous Responses
- A mixed copula model for insurance claims and claim sizes
- Asymptotic Statistics
- Asymptotics for argmin processes: convexity arguments
- Exchangeably weighted bootstraps of the general empirical process
- Generalized linear models for dependent frequency and severity of insurance claims
- scientific article; zbMATH DE number 3336465 (Why is no real title available?)
- Improving point and interval estimators of monotone functions by rearrangement
- Inference on counterfactual distributions
- Insurance risk analysis of financial networks vulnerable to a shock
- Maximum Likelihood Estimation of Misspecified Models
- Methods for Estimating a Conditional Distribution Function
- Misspecification Testing in a Class of Conditional Distributional Models
- Multivariate conditional transformation models
- Multivariate Correlation Models with Mixed Discrete and Continuous Variables
- Nonparametric estimation of copula regression models with discrete outcomes
- Optimization with Multivariate Conditional Value-at-Risk Constraints
- Pair copula constructions for insurance experience rating
- Response models for mixed binary and quantitative variables
- Weak convergence and empirical processes. With applications to statistics
Cited in
(4)- Regression adjustment for estimating distributional treatment effects in randomized controlled trials
- Multivariate distribution regression
- Parametric estimation of conditional Archimedean copula generators for censored data
- Distributional refinement network: distributional forecasting via deep learning
This page was built for publication: Bivariate distribution regression with application to insurance data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6152694)
