Dependent frequency-severity modeling of insurance claims

DOI10.1016/j.insmatheco.2015.07.006zbMath1348.91180OpenAlexW1015092553MaRDI QIDQ495514

Anastasia Ivantsova, Peng Shi, Xiaoping Feng

Publication date: 14 September 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.07.006

zbMATH Keywords

copulaconditional decompositionhurdle modelout-of-sample validationportfolio risk

Mathematics Subject Classification ID

Related Items (28)

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 ⋮ A new class of copula regression models for modelling multivariate heavy-tailed data ⋮ TERRITORIAL RISK CLASSIFICATION USING SPATIALLY DEPENDENT FREQUENCY-SEVERITY MODELS ⋮ Modelling the aggregate loss for insurance claims with dependence ⋮ Predictive risk analysis using a collective risk model: choosing between past frequency and aggregate severity information ⋮ A dependent insurance risk model with surrender and investment under the thinning process ⋮ Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims ⋮ A dependent frequency-severity approach to modeling longitudinal insurance claims ⋮ A simple Bayesian state-space approach to the collective risk models ⋮ BERT-based NLP techniques for classification and severity modeling in basic warranty data study ⋮ Frequency-severity experience rating based on latent Markovian risk profiles ⋮ Dependence modeling of frequency-severity of insurance claims using waiting time ⋮ A multivariate frequency-severity framework for healthcare data breaches ⋮ Predictive compound risk models with dependence ⋮ Investigating dependence between frequency and severity via simple generalized linear models ⋮ FREQUENTIST INFERENCE IN INSURANCE RATEMAKING MODELS ADJUSTING FOR MISREPRESENTATION ⋮ Bayesian credibility under a bivariate prior on the frequency and the severity of claims ⋮ A multi-year microlevel collective risk model ⋮ Approximate Bayesian computations to fit and compare insurance loss models ⋮ Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach ⋮ Severity modeling of extreme insurance claims for tariffication ⋮ Bonus-Malus premiums under the dependent frequency-severity modeling ⋮ Generalized linear models for dependent frequency and severity of insurance claims ⋮ A copula transformation in multivariate mixed discrete-continuous models ⋮ On copula-based collective risk models: from elliptical copulas to vine copulas ⋮ Spatial Tweedie exponential dispersion models: an application to insurance rate-making ⋮ Modeling Malicious Hacking Data Breach Risks

Cites Work

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