Non-life rate-making with Bayesian GAMs
DOI10.1016/J.INSMATHECO.2004.08.001zbMATH Open1070.62095OpenAlexW2061289251MaRDI QIDQ2485533FDOQ2485533
Authors: Stefan Lang, Michel Denuit 
Publication date: 5 August 2005
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.08.001
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MCMCPoisson regressionBayes modelsLogNormal regressionMTPL insurancePostcodesRate-makingSmoothness priors
Bayesian inference (62F15) Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Multivariate adaptive regression splines
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- Fitting Tweedie's compound poisson model to insurance claims data
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- Principal Applications of Bayesian Methods in Actuarial Science
- A primer on Markov chain Monte Carlo
- Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
- Bayesian semiparametric regression analysis of multicategorical time-space data
- Bayesian Premium Rating with Latent Structure
Cited In (22)
- The negative binomial-inverse Gaussian regression model with an application to insurance ratemaking
- Ratemaking in a changing environment
- Risk classification in life and health insurance: extension to continuous covariates
- Bayesian Poisson log-bilinear mortality projections
- Modeling non-life insurance price for risk without historical information
- Spatial Tweedie exponential dispersion models: an application to insurance rate-making
- GAMLSS for Longitudinal Multivariate Claim Count Models
- Geographic ratemaking with spatial embeddings
- Sparse regression with multi-type regularized feature modeling
- Statistical concepts of \textit{a priori} and \textit{a posteriori} risk classification in insurance
- Risk classification for claim counts: a comparative analysis of various zero-inflated mixed Poisson and hurdle models
- Semi-parametric accelerated hazard relational models with applications to mortality projections
- Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape
- Actuarial statistics with generalized linear mixed models
- Multivariate modelling of household claim frequencies in motor third-party liability insurance
- Boosting insights in insurance tariff plans with tree-based machine learning methods
- A data driven binning strategy for the construction of insurance tariff classes
- Frequency-severity experience rating based on latent Markovian risk profiles
- A Markov-modulated tree-based gradient boosting model for auto-insurance risk premium pricing
- Empirical risk assessment of maintenance costs under full-service contracts
- Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data
- Testing Alternative Regression Frameworks for Predictive Modeling of Health Care Costs
Uses Software
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