Heavy-tailed longitudinal data modeling using copulas

DOI10.1016/J.INSMATHECO.2007.09.009zbMATH Open1152.91605OpenAlexW2083125560MaRDI QIDQ998301FDOQ998301

J. F. Sun, Edward W. Frees, Marjorie A. Rosenberg

Publication date: 28 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.09.009

zbMATH Keywords

predictive modelinghealthcare costs

Mathematics Subject Classification ID

Cites Work

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• Mixed-Effects Models in S and S-PLUS
• Estimation in generalized linear models with random effects
• Approximate Inference in Generalized Linear Mixed Models
• Statistics of Extremes
• A Generalization of the Gamma Distribution
• An introduction to copulas.
• A generalization of the beta distribution with applications
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Some Generalized Functions for the Size Distribution of Income
• Analysis of longitudinal data
• Understanding Relationships Using Copulas
• Tail Conditional Expectations for Elliptical Distributions
• A log gamma model and its maximum likelihood estimation
• Inferential Procedures for the Generalized Gamma Distribution
• Longitudinal and Panel Data
• Multivariate distributions with correlation matrices for nonlinear repeated measurements
• Regression models for positive random variables
• A Parametric Model for Cluster Correlated Categorical Data
• Generalized Estimating Equations
• Copula credibility for aggregate loss models
• Credibility Using Copulas
• Burr regression and portfolio segmentation
• Pareto Regression: A Bayesian Analysis
• Predictive Modeling with Longitudinal Data

Cited In (29)

• Investigating dependence between frequency and severity via simple generalized linear models
• Managed Care and Health Care Utilization: Specification of Bivariate Models Using Copulas
• Life insurance policy termination and survivorship
• Multivariate longitudinal modeling of insurance company expenses
• Modeling General Practitioners’ Total Drug Costs through GAMLSS and Collective Risk Models
• Robust and efficient estimating equations for longitudinal data partial linear models and its applications
• A transition copula model for analyzing multivariate longitudinal data with missing responses
• Modeling dependent yearly claim totals including zero claims in private health insurance
• Statistical concepts of \textit{a priori} and \textit{a posteriori} risk classification in insurance
• A copula-based GLMM model for multivariate longitudinal data with mixed-types of responses
• Pair Copula Constructions for Insurance Experience Rating
• Longitudinal modeling of insurance claim counts using jitters
• The robust nearest shrunken centroids classifier for high-dimensional heavy-tailed data
• Copula and composite quantile regression-based estimating equations for longitudinal data
• A Time-Heterogeneous D-Vine Copula Model for Unbalanced and Unequally Spaced Longitudinal Data
• An adaptive linear regression approach for modeling heavy-tailed longitudinal data
• Quantile regression for mixed models with an application to examine blood pressure trends in China
• Folded and log-folded-tdistributions as models for insurance loss data
• Regression Modeling for the Valuation of Large Variable Annuity Portfolios
• Dependent frequency-severity modeling of insurance claims
• A review of copula models for economic time series
• Vine Copula Specifications for Stationary Multivariate Markov Chains
• A copula regression model for estimating firm efficiency in the insurance industry
• Long-tail longitudinal modeling of insurance company expenses
• A generalized beta copula with applications in modeling multivariate long-tailed data
• Modeling right-skewed heavy-tail right-censored survival data with application to HIV viral load
• Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective
• A COPULA REGRESSION FOR MODELING MULTIVARIATE LOSS TRIANGLES AND QUANTIFYING RESERVING VARIABILITY
• Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing

Uses Software

• R
• S-PLUS
• faraway
• copula
• MEMSS
• QRM
• copula
• ARC

Recommendations

• Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence 👍 👎
• COPULA-BASED QUANTILE REGRESSION FOR LONGITUDINAL DATA 👍 👎
• Time-varying copula models for longitudinal data 👍 👎
• Copula and composite quantile regression-based estimating equations for longitudinal data 👍 👎
• Latent Gaussian copula models for longitudinal binary data 👍 👎
• A new class of copula regression models for modelling multivariate heavy-tailed data 👍 👎
• A transition model for analyzing multivariate longitudinal data using Gaussian copula approach 👍 👎
• A copula-based Markov chain model for the analysis of binary longitudinal data 👍 👎
• Estimation and inference of the joint conditional distribution for multivariate longitudinal data using nonparametric copulas 👍 👎

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