Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape
From MaRDI portal
Publication:743163
DOI10.1016/j.insmatheco.2014.02.001zbMath1296.62089OpenAlexW2068775855MaRDI QIDQ743163
Nadja Klein, Thomas Kneib, Stefan Lang, Michel M. Denuit
Publication date: 22 September 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.02.001
MCMCnegative binomialzero-adjusted modelsmixed Poisson regressionzero-inflated Poissonoverdispersed count dataprobabilistic forecasts
Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Generalized linear models (logistic models) (62J12)
Related Items
Risk classification in life and health insurance: extension to continuous covariates, A Heavy-Tailed and Overdispersed Collective Risk Model, Semi-parametric accelerated hazard relational models with applications to mortality projections, A data driven binning strategy for the construction of insurance tariff classes, Bonus-Malus Systems with Two-Component Mixture Models Arising from Different Parametric Families, Sparse regression with multi-type regularized feature modeling, Bounds on Kendall's tau for zero-inflated continuous variables, Zero-spiked regression models generated by gamma random variables with application in the resin oil production, Pay-As-You-Drive Insurance: Modeling and Implications, Bayesian quantile regression model for claim count data, AN EM ALGORITHM FOR FITTING A NEW CLASS OF MIXED EXPONENTIAL REGRESSION MODELS WITH VARYING DISPERSION, Testing Alternative Regression Frameworks for Predictive Modeling of Health Care Costs, Boosting Insights in Insurance Tariff Plans with Tree-Based Machine Learning Methods, Bayesian structured additive distributional regression with an application to regional income inequality in Germany, Empirical risk assessment of maintenance costs under full-service contracts, Matrix calculation for ultimate and 1-year risk in the Semi-Markov individual loss reserving model
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Robust specification of the roughness penalty prior distribution in spatially adaptive Bayesian P-splines models
- Multilevel structured additive regression
- Generalized structured additive regression based on Bayesian P-splines
- Non-life rate-making with Bayesian GAMs
- On modeling claim frequency data in general insurance with extra zeros
- Composite Lognormal–Pareto model with random threshold
- Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
- Actuarial Modelling of Claim Counts
- Mean and dispersion modelling for policy claims costs
- Fast Stable Direct Fitting and Smoothness Selection for Generalized Additive Models
- Fitting Tweedie's compound poisson model to insurance claims data
- Semiparametric Regression
- Regression
- Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling
- Bayesian Measures of Model Complexity and Fit
- Gaussian Markov Random Fields
- Risk Classification for Claim Counts
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
- Stable and Efficient Multiple Smoothing Parameter Estimation for Generalized Additive Models
- Generalized Additive Models for Location, Scale and Shape
