Empirical investigation of insurance claim dependencies using mixture models

DOI10.1007/S13385-014-0088-XzbMATH Open1304.62129OpenAlexW3122740134MaRDI QIDQ487617FDOQ487617

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

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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)

Cites Work

• Title not available (Why is that?)
• Correlated Binary Regression with Covariates Specific to Each Binary Observation
• Title not available (Why is that?)
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• Binary Regression Using an Extended Beta-Binomial Distribution, With Discussion of Correlation Induced by Covariate Measurement Errors
• Understanding Relationships Using Copulas
• Multivariate insurance models: an overview
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• Compound Poisson approximations for individual models with dependent risks.
• Explicit ruin formulas for models with dependence among risks
• Longitudinal modeling of insurance claim counts using jitters
• Stop-loss order for portfolios of dependent risks
• The concept of comonotonicity in actuarial science and finance: applications.
• On the impact of independence of risks on stop loss premiums
• On dependence of risks and stop-loss premiums
• On the dependency of risks in the individual life model
• Measuring the impact of dependence between claims occurrences.
• On two dependent individual risk models.
• Biostatistical methods. The assessment of relative risks
• Simulation of ruin probabilities for risk processes of Markovian type
• Dependence in Dynamic Claim Frequency Credibility Models
• Credibility Using Copulas
• Bivariate distributions with diatomic conditionals and stop-loss transforms of random sums

Cited In (8)

• 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
• Correlations between insurance lines of business: an illusion or a real phenomenon? Some methodological considerations

Uses Software

• QRM
• CreditRisk+

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