Empirical investigation of insurance claim dependencies using mixture models

DOI10.1007/S13385-014-0088-XzbMath1304.62129OpenAlexW3122740134MaRDI QIDQ487617

Emiliano A. Valdez

Publication date: 22 January 2015

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-014-0088-x

zbMATH Keywords

beta-binomial distributionlogit-normal mixture modelsprobit-normal mixture modelsrelative risk measuresrisk dependencies

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Bayesian ratemaking with common effects modeled by mixture of Pólya tree processes ⋮ Max-factor individual risk models with application to credit portfolios

Uses Software

• QRM
• CreditRisk+

Cites Work

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• Understanding Relationships Using Copulas

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