A bivariate model of claim frequencies and severities

DOI10.1080/02664760600743969MaRDI QIDQ3592629zbMATH OpenOpenAlexFDO

Authors Gabriel Escarela, Jacques F. Carriere

Publication date 13 September 2007

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760600743969

zbMATH Keywords

bivariate loss distributionBurr regressiondiagnosticsFrank's copulasurvival copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Testing independence in bivariate distributions of claim frequencies and severities
• Compound model for two dependent kinds of claim
• On copula-based collective risk models: from elliptical copulas to vine copulas
• Bayesian credibility under a bivariate prior on the frequency and the severity of claims
• Fitting and validation of a bivariate model for large claims

Cites work

• An introduction to copulas. Properties and applications
• Burr regression and portfolio segmentation
• Fitting bivariate loss distributions with copulas
• Frank's family of bivariate distributions
• scientific article; zbMATH DE number 45786 (Why is no real title available?)
• scientific article; zbMATH DE number 3551729 (Why is no real title available?)
• scientific article; zbMATH DE number 1128584 (Why is no real title available?)
• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• Properties of a one-parameter family of bivariate distributions with specified marginals
• Testing independence in bivariate distributions of claim frequencies and severities
• Understanding Relationships Using Copulas

Cited in

(11)

• Testing independence in bivariate distributions of claim frequencies and severities
• Compound model for two dependent kinds of claim
• A max-min model of random variables in bivariate random sequences
• Bayesian credibility under a bivariate prior on the frequency and the severity of claims
• Copula models for insurance claim numbers with excess zeros and time-dependence
• Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims
• Measurement of bivariate attributes using a novel statistical model
• Copula models for estimating outstanding claim provisions
• Recurrence in workers' compensation claims: Estimates from a multiple spell hazard model
• Predicting automobile claims bodily injury severity with sequential ordered logit models
• Fitting and validation of a bivariate model for large claims

Describes a project that uses

Uses Software

• Maple

This page was built for publication: A bivariate model of claim frequencies and severities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3592629)