Multilevel modeling of insurance claims using copulas
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Publication:312930
DOI10.1214/16-AOAS914zbMATH Open1400.62238MaRDI QIDQ312930FDOQ312930
Jean-Philippe Boucher, Peng Shi, Xiaoping Feng
Publication date: 9 September 2016
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aoas/1469199895
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composite likelihoodlongitudinal datamultivariate regressionTweedie distributioninsurance claimsproperty-casualty insurance
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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Cited In (29)
- Knowledge Learning of Insurance Risks Using Dependence Models
- Ratemaking in a changing environment
- Diagnostic tests before modeling longitudinal actuarial data
- Rank-based inference tools for copula regression, with property and casualty insurance applications
- MULTIVARIATE MODELLING OF HOUSEHOLD CLAIM FREQUENCIES IN MOTOR THIRD-PARTY LIABILITY INSURANCE
- Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims
- Pair Copula Constructions for Insurance Experience Rating
- Can we weather proof our insurance?
- Approximate Bayesian computations to fit and compare insurance loss models
- On Fitting Dependent Nonhomogeneous Loss Models to Unearned Premium Risk
- A censored copula model for micro-level claim reserving
- Tweedie multivariate semi-parametric credibility with the exchangeable correlation
- A Time-Heterogeneous D-Vine Copula Model for Unbalanced and Unequally Spaced Longitudinal Data
- A Unified Approach to Sparse Tweedie Modeling of Multisource Insurance Claim Data
- Analysis of ordinal and continuous longitudinal responses using pair copula construction
- Individual claims reserving using activation patterns
- Non-Life Insurance Risk Classification Using Categorical Embedding
- Modeling claims data with composite Stoppa models
- K-Sample Test for Equality of Copulas
- Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns
- Tweedie double GLM loss triangles with dependence within and across business lines
- Copula-based bivariate finite mixture regression models with an application for insurance claim count data
- Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
- A modified pseudo-copula regression model for risk groups with various dependency levels
- Spatial copula-based modeling of claim frequency and claim size in third-party car insurance: a Poisson-mixed approach for predictive analysis
- Multivariate modelling of multiple guarantees in motor insurance of a household
- A Tweedie Compound Poisson Model in Reproducing Kernel Hilbert Space
- A Bayesian approach to modeling multivariate multilevel insurance claims in the presence of unsettled claims
- Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
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