Predictive compound risk models with dependence
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Publication:2212152
In the collective risk model for a given period of time, the sequence \(\{C_{j}\}_{j\in{\mathbb N}}\) of individual losses is i.i.d.\ and independent of the number of claims \(N\) and the total loss is defined as \(S=\sum_{j=1}^{N}C_{j}\). In the present paper, the authors consider a related and rather particular multiperiod model in which independence between individual losses and the number of claims is replaced by an assumption on the structure of \(E(S|N)\). For the total loss in a future period they propose a predictor which depends on claims experience in the past.
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- Investigating dependence between frequency and severity via simple generalized linear models
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Cited in
(19)- Impact of dependence among multiple claims in a single loss
- Investigating dependence between frequency and severity via simple generalized linear models
- Forecasting compositional risk allocations
- Earthquake parametric insurance with Bayesian spatial quantile regression
- Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims
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- A dependent frequency-severity approach to modeling longitudinal insurance claims
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- Dependent frequency-severity modeling of insurance claims
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