Bonus-Malus premiums under the dependent frequency-severity modeling

DOI10.1080/03461238.2019.1655477zbMath1436.91103OpenAlexW2968163186MaRDI QIDQ4959764

Peng Shi, Rosy Oh, Jae Youn Ahn

Publication date: 7 April 2020

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

Full work available at URL: https://doi.org/10.1080/03461238.2019.1655477

zbMATH Keywords

copulabonus-malus systembivariate random effectsfrequency-severity dependence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (9)

EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES ⋮ Designing a Bonus-Malus system reflecting the claim size under the dependent frequency–severity model ⋮ Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims ⋮ Frequency-severity experience rating based on latent Markovian risk profiles ⋮ Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction ⋮ Dependence modeling of frequency-severity of insurance claims using waiting time ⋮ Diagnostic tests before modeling longitudinal actuarial data ⋮ A multi-year microlevel collective risk model ⋮ Spatial Tweedie exponential dispersion models: an application to insurance rate-making

Uses Software

• JAGS

Cites Work

• Unnamed Item
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• Setting a Bonus-Malus Scale in the Presence of Other Rating Factors: Taylor's Work Revisited
• Bayesian Measures of Model Complexity and Fit
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