Bayesian multivariate Poisson models for insurance ratemaking

DOI10.1016/j.insmatheco.2010.11.001zbMath1233.91140OpenAlexW2012994662MaRDI QIDQ2276224

Dimitris Karlis, Lluís Bermúdez

Publication date: 1 August 2011

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

Full work available at URL: http://hdl.handle.net/2445/106482

zbMATH Keywords

Gibbs samplingautomobile insurancezero-inflated modelsMCMC inferencemultivariate Poisson regression models

Mathematics Subject Classification ID

Related Items (27)

Allowing for time and cross dependence assumptions between claim counts in ratemaking models ⋮ BAYESIAN ANALYSIS OF BIG DATA IN INSURANCE PREDICTIVE MODELING USING DISTRIBUTED COMPUTING ⋮ A posteriori ratemaking using bivariate Poisson models ⋮ Insurance ratemaking using a copula-based multivariate Tweedie model ⋮ The multivariate mixed negative binomial regression model with an application to insurance a posteriori ratemaking ⋮ A finite mixture of bivariate Poisson regression models with an application to insurance ratemaking ⋮ Bayesian Multivariate Mixed Poisson Models with Copula-Based Mixture ⋮ Bivariate Mixed Poisson Regression Models with Varying Dispersion ⋮ Frequency-severity experience rating based on latent Markovian risk profiles ⋮ Copula models for insurance claim numbers with excess zeros and time-dependence ⋮ Multivariate Poisson model adjusting for unidirectional covariate misrepresentation ⋮ Multivariate mixed Poisson generalized inverse Gaussian INAR(1) regression ⋮ Bayesian quantile regression model for claim count data ⋮ Credibility premium for rate-making systems ⋮ Nonparametric Estimation of Copula Regression Models With Discrete Outcomes ⋮ Joint modelling of two count variables when one of them can be degenerate ⋮ Multivariate count data generalized linear models: three approaches based on the Sarmanov distribution ⋮ PREDICTIVE CLAIM SCORES FOR DYNAMIC MULTI-PRODUCT RISK CLASSIFICATION IN INSURANCE ⋮ On Uniform and α-Monotone Discrete Distributions ⋮ A class of mixture of experts models for general insurance: theoretical developments ⋮ Multivariate negative binomial models for insurance claim counts ⋮ A CLASS OF MIXTURE OF EXPERTS MODELS FOR GENERAL INSURANCE: APPLICATION TO CORRELATED CLAIM FREQUENCIES ⋮ Multivariate modelling of multiple guarantees in motor insurance of a household ⋮ Intrinsic objective Bayesian estimation of the mean of the Tweedie family ⋮ The negative binomial-inverse Gaussian regression model with an application to insurance ratemaking ⋮ A NEW MULTIVARIATE ZERO-INFLATED HURDLE MODEL WITH APPLICATIONS IN AUTOMOBILE INSURANCE ⋮ Testing independence between discrete random variables

Uses Software

• bivpois

Cites Work

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• A bivariate Poisson count data model using conditional probabilities
• Bayesian Measures of Model Complexity and Fit
• Risk Classification for Claim Counts
• Hierarchical Insurance Claims Modeling

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