A dependent frequency-severity approach to modeling longitudinal insurance claims

DOI10.1016/J.INSMATHECO.2019.04.004zbMath1410.91271OpenAlexW2939028651WikidataQ128030207 ScholiaQ128030207MaRDI QIDQ2421404

Peng Shi, Gee Y. Lee

Publication date: 17 June 2019

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.04.004

zbMATH Keywords

Gaussian copulapredictive modelingfrequency-severity modellongitudinal insurance claimsnonlife insurance

Mathematics Subject Classification ID

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

Related Items (12)

Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims ⋮ A simple Bayesian state-space approach to the collective risk models ⋮ Frequency-severity experience rating based on latent Markovian risk profiles ⋮ A multivariate frequency-severity framework for healthcare data breaches ⋮ Diagnostic tests before modeling longitudinal actuarial data ⋮ Tweedie multivariate semi-parametric credibility with the exchangeable correlation ⋮ Bayesian credibility under a bivariate prior on the frequency and the severity of claims ⋮ A multi-year microlevel collective risk model ⋮ On copula-based collective risk models: from elliptical copulas to vine copulas ⋮ Compound sum distributions with dependence ⋮ A non-convex regularization approach for stable estimation of loss development factors ⋮ Fitting Censored and Truncated Regression Data Using the Mixture of Experts Models

Uses Software

• CopulaModel

Cites Work

• Unnamed Item
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