Empirical investigation of insurance claim dependencies using mixture models

DOI10.1007/S13385-014-0088-XMaRDI QIDQ487617zbMATH OpenOpenAlexFDO

Authors Emiliano A. Valdez

Publication date 22 January 2015

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

Full work available at URL https://doi.org/10.1007/s13385-014-0088-x

zbMATH Keywords

beta-binomial distributionlogit-normal mixture modelsprobit-normal mixture modelsrelative risk measuresrisk dependencies

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
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• Compound Poisson approximations for individual models with dependent risks.
• Correlated Binary Regression with Covariates Specific to Each Binary Observation
• Credibility Using Copulas
• Dependence in Dynamic Claim Frequency Credibility Models
• Explicit ruin formulas for models with dependence among risks
• Longitudinal and Panel Data
• Longitudinal modeling of insurance claim counts using jitters
• Measuring the impact of dependence between claims occurrences.
• Multivariate insurance models: an overview
• On dependence of risks and stop-loss premiums
• On the dependency of risks in the individual life model
• On the impact of independence of risks on stop loss premiums
• On two dependent individual risk models.
• Simulation of ruin probabilities for risk processes of Markovian type
• Stop-loss order for portfolios of dependent risks
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• Understanding Relationships Using Copulas

Cited in

(8)

• Correlations between insurance lines of business: an illusion or a real phenomenon? Some methodological considerations
• A mixed copula model for insurance claims and claim sizes
• JOINT MODELING OF CLAIM FREQUENCIES AND BEHAVIORAL SIGNALS IN MOTOR INSURANCE
• A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING
• Bayesian ratemaking with common effects modeled by mixture of Pólya tree processes
• Gamma mixture density networks and their application to modelling insurance claim amounts
• Modeling claims data with composite Stoppa models
• Max-factor individual risk models with application to credit portfolios

Describes a project that uses

Uses Software

• CreditRisk+
• QRM

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