Bayesian total loss estimation using shared random effects

DOI10.1016/j.insmatheco.2015.02.008zbMath1318.91107OpenAlexW2059870470MaRDI QIDQ2347072

Carolin Baumgartner, Lutz F. Gruber, Claudia Czado

Publication date: 26 May 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.02.008

zbMATH Keywords

Markov chain Monte CarloBayesian inferencedependencegeneralized linear mixed modelshared parameter modelclaim sizeclaim counttotal loss

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalized linear models (logistic models) (62J12)

Related Items (8)

Does hunger for bonuses drive the dependence between claim frequency and severity? ⋮ Designing a Bonus-Malus system reflecting the claim size under the dependent frequency–severity model ⋮ Predictive risk analysis using a collective risk model: choosing between past frequency and aggregate severity information ⋮ Frequency-severity experience rating based on latent Markovian risk profiles ⋮ Investigating dependence between frequency and severity via simple generalized linear models ⋮ A multi-year microlevel collective risk model ⋮ Bonus-Malus premiums under the dependent frequency-severity modeling ⋮ On copula-based collective risk models: from elliptical copulas to vine copulas

Uses Software

• CODA
• dobson

Cites Work

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