Actuarial statistics with generalized linear mixed models

DOI10.1016/j.insmatheco.2006.02.013zbMath1104.62111OpenAlexW1995051946MaRDI QIDQ865610

Katrien Antonio, Jan Beirlant

Publication date: 19 February 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.02.013

zbMATH Keywords

longitudinal dataBayesian statisticscredibilitygeneralized linear mixed modelsnon-life ratemakingworkers' compensation insurance

Mathematics Subject Classification ID

Related Items (22)

Statistical concepts of \textit{a priori} and \textit{a posteriori} risk classification in insurance ⋮ Estimation of the Jump Size Density in a Mixed Compound Poisson Process ⋮ A CREDIBILITY APPROACH FOR COMBINING LIKELIHOODS OF GENERALIZED LINEAR MODELS ⋮ Modelling the aggregate loss for insurance claims with dependence ⋮ SIMD parallel MCMC sampling with applications for big-data Bayesian analytics ⋮ Optimization Approaches to Multiplicative Tariff of Rates Estimation in Non-Life Insurance ⋮ Evaluation of the EU proposed farm income stabilisation tool by skew normal linear mixed models ⋮ Credit portfolios, credibility theory, and dynamic empirical Bayes ⋮ Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio ⋮ Claims reserving in the hierarchical generalized linear model framework ⋮ Extension and application of credibility models in predicting claim frequency ⋮ Solving sequences of generalized least-squares problems on multi-threaded architectures ⋮ Fitting mixed-effects models when data are left truncated ⋮ Robust loss reserving in a log-linear model ⋮ Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data ⋮ Evolutionary Credibility Theory ⋮ A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING ⋮ Modeling dependencies in claims reserving with GEE ⋮ Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective ⋮ Conditional least squares and copulae in claims reserving for a single line of business ⋮ The determinants of mortality heterogeneity and implications for pricing annuities ⋮ Bayesian total loss estimation using shared random effects

Uses Software

• WinBUGS
• SAS

Cites Work

• Random-Effects Models for Longitudinal Data
• A longitudinal data analysis interpretation of credibility models
• General design Bayesian generalized linear mixed models
• Non-life rate-making with Bayesian GAMs
• Models for discrete longitudinal data.
• Standard Errors of Prediction in Generalized Linear Mixed Models
• Dependence in Dynamic Claim Frequency Credibility Models
• Approximate Inference in Generalized Linear Mixed Models
• Mixed Models
• Generalized linear mixed models a pseudo-likelihood approach
• Lognormal Mixed Models for Reported Claims Reserves
• Case Studies Using Panel Data Models
• Linear mixed models for longitudinal data
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