Phase-type mixture-of-experts regression for loss severities
From MaRDI portal
Publication:6156007
Abstract: The task of modeling claim severities is addressed when data is not consistent with the classical regression assumptions. This framework is common in several lines of business within insurance and reinsurance, where catastrophic losses or heterogeneous sub-populations result in data difficult to model. Their correct analysis is required for pricing insurance products, and some of the most prevalent recent specifications in this direction are mixture-of-experts models. This paper proposes a regression model that generalizes the latter approach to the phase-type distribution setting. More specifically, the concept of mixing is extended to the case where an entire Markov jump process is unobserved and where states can communicate with each other. The covariates then act on the initial probabilities of such underlying chain, which play the role of expert weights. The basic properties of such a model are computed in terms of matrix functionals, and denseness properties are derived, demonstrating their flexibility. An effective estimation procedure is proposed, based on the EM algorithm and multinomial logistic regression, and subsequently illustrated using simulated and real-world datasets. The increased flexibility of the proposed models does not come at a high computational cost, and the motivation and interpretation are equally transparent to simpler MoE models.
Recommendations
- Phase-type distributions for claim severity regression modeling
- A class of mixture of experts models for general insurance: theoretical developments
- Mixture Composite Regression Models with Multi-type Feature Selection
- A class of mixture of experts models for general insurance: application to correlated claim frequencies
- A New Class of Severity Regression Models with an Application to IBNR Prediction
Cites work
- scientific article; zbMATH DE number 1183924 (Why is no real title available?)
- scientific article; zbMATH DE number 3736680 (Why is no real title available?)
- A New Class of Severity Regression Models with an Application to IBNR Prediction
- A class of mixture of experts models for general insurance: theoretical developments
- A simple general approach to inference about the tail of a distribution
- Applied Probability and Queues
- Extending composite loss models using a general framework of advanced computational tools
- Fitting inhomogeneous phase‐type distributions to data: the univariate and the multivariate case
- Inhomogeneous phase-type distributions and heavy tails
- Matrix-Exponential Distributions in Applied Probability
- Modeling loss data using mixtures of distributions
- Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions
- Mortality modeling and regression with matrix distributions
- Optimal bonus-malus systems using finite mixture models
- Partial likelihood
- Penalised likelihood methods for phase-type dimension selection
- Theory of partial likelihood
Cited in
(6)- Robust claim frequency modeling through phase-type mixture-of-experts regression
- Aggregate Markov models in life insurance: estimation via the EM algorithm
- Mixture Composite Regression Models with Multi-type Feature Selection
- A class of mixture of experts models for general insurance: theoretical developments
- Phase-type distributions for claim severity regression modeling
- Soft splicing model: bridging the gap between composite model and finite mixture model
This page was built for publication: Phase-type mixture-of-experts regression for loss severities
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6156007)
