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|Title:||A finite mixture of bivariate Poisson regression models with an application to insurance ratemaking|
Anàlisi de regressió
|Abstract:||Bivariate Poisson regression models for ratemaking in car insurance have been previously used. They included zero-inflated models to account for the excess of zeros and the overdispersion in the data set. These models are now revisited in order to consider alternatives. A 2-finite mixture of bivariate Poisson regression models is used to demonstrate that the overdispersion in the data requires more structure if it is to be taken into account, and that a simple zero-inflated bivariate Poisson model does not suffice. At the same time, it is shown that a finite mixture of bivariate Poisson regression models embraces zero-inflated bivariate Poisson regression models as a special case. Finally, an EM algorithm is provided in order to ensure the models' ease-of-fit. These models are applied to an automobile insurance claims data set and it is shown that the modeling of the data set can be improved considerably.|
|Note:||Versió postprint del document publicat a: https://doi.org/10.1016/j.csda.2012.05.016|
|It is part of:||Computational Statistics & Data Analysis, 2012, vol. 56, num. 12, p. 3988-3999|
|Appears in Collections:||Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)|
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