Multivariate modelling of multiple guarantees in motor insurance of a household

DOI10.1007/S13385-019-00201-5MaRDI QIDQ2304002zbMATH OpenOpenAlexFDO

Authors Florian Pechon, Julien Trufin, Michel Denuit

Publication date 6 March 2020

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://dipot.ulb.ac.be/dspace/bitstream/2013/289607/3/MultivariateModellingMultipleGuarantees_Diffusion.pdf

zbMATH Keywords

a posteriori risk revaluationcredibilitymultivariate Poisson mixture modelPoisson-lognormal

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Recommendations

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Cites work

• A finite mixture of bivariate Poisson regression models with an application to insurance ratemaking
• A priori ratemaking using bivariate Poisson regression models
• Actuarial Modelling of Claim Counts
• Allowing for time and cross dependence assumptions between claim counts in ratemaking models
• Bayesian multivariate Poisson models for insurance ratemaking
• Copula credibility for aggregate loss models
• Designing Optimal Bonus-Malus Systems from Different Types of Claims
• scientific article; zbMATH DE number 6734253 (Why is no real title available?)
• Multilevel modeling of insurance claims using copulas
• Multivariate Latent Risk: A Credibility Approach
• Multivariate modelling of household claim frequencies in motor third-party liability insurance
• Multivariate negative binomial models for insurance claim counts

Cited in

(8)

• Multivariate modelling of household claim frequencies in motor third-party liability insurance
• On Fitting Dependent Nonhomogeneous Loss Models to Unearned Premium Risk
• JOINT MODELING OF CLAIM FREQUENCIES AND BEHAVIORAL SIGNALS IN MOTOR INSURANCE
• Bivariate Mixed Poisson Regression Models with Varying Dispersion
• Multivariate mixed Poisson generalized inverse Gaussian INAR(1) regression
• EM estimation for bivariate mixed Poisson INAR(1) claim count regression models with correlated random effects
• Multivariate claim count regression model with varying dispersion and dependence parameters
• Simpson's paradox for Kendall's rank coefficient

Describes a project that uses

Uses Software

• gamair
• Rcpp

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