Allowing for time and cross dependence assumptions between claim counts in ratemaking models

DOI10.1016/j.insmatheco.2018.06.003zbMath1417.91262OpenAlexW2808797535WikidataQ129641022 ScholiaQ129641022MaRDI QIDQ1622524

Dimitris Karlis, Lluís Bermúdez, Montserrat Guillen

Publication date: 19 November 2018

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

Full work available at URL: http://hdl.handle.net/2445/126042

zbMATH Keywords

time dependenceautomobile insurancemultivariate longitudinal dataBINAR(1) modelcross dependence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (9)

On the analysis of a discrete-time risk model with INAR(1) processes ⋮ The multivariate mixed negative binomial regression model with an application to insurance a posteriori ratemaking ⋮ Bivariate Mixed Poisson Regression Models with Varying Dispersion ⋮ Multivariate mixed Poisson generalized inverse Gaussian INAR(1) regression ⋮ Positivity properties of the ARFIMA\((0,d,0)\) specifications and credibility analysis of frequency risks ⋮ PREDICTIVE CLAIM SCORES FOR DYNAMIC MULTI-PRODUCT RISK CLASSIFICATION IN INSURANCE ⋮ Multivariate modelling of multiple guarantees in motor insurance of a household ⋮ On the evaluation of risk models with bivariate integer-valued time series ⋮ MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION

Cites Work

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• A posteriori ratemaking using bivariate Poisson models
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• A POSTERIORI RATEMAKING WITH PANEL DATA

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