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http://hdl.handle.net/2445/106474
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DC Field | Value | Language |
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dc.contributor.author | Bermúdez, Lluís | - |
dc.contributor.author | Karlis, Dimitris | - |
dc.date.accessioned | 2017-02-03T10:47:43Z | - |
dc.date.available | 2017-02-03T10:47:43Z | - |
dc.date.issued | 2012-12 | - |
dc.identifier.issn | 0167-9473 | - |
dc.identifier.uri | http://hdl.handle.net/2445/106474 | - |
dc.description.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. | - |
dc.format.extent | 12 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Elsevier B.V. | - |
dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.1016/j.csda.2012.05.016 | - |
dc.relation.ispartof | Computational Statistics & Data Analysis, 2012, vol. 56, num. 12, p. 3988-3999 | - |
dc.relation.uri | https://doi.org/10.1016/j.csda.2012.05.016 | - |
dc.rights | (c) Elsevier B.V., 2012 | - |
dc.source | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) | - |
dc.subject.classification | Inflació | - |
dc.subject.classification | Anàlisi de regressió | - |
dc.subject.classification | Assegurances d'accidents | - |
dc.subject.classification | Variables (Matemàtica) | - |
dc.subject.other | Inflation | - |
dc.subject.other | Regression analysis | - |
dc.subject.other | Accident insurance | - |
dc.subject.other | Variables (Mathematics) | - |
dc.title | A finite mixture of bivariate Poisson regression models with an application to insurance ratemaking | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 615407 | - |
dc.date.updated | 2017-02-03T10:47:43Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) |
Files in This Item:
File | Description | Size | Format | |
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615407.pdf | 410.99 kB | Adobe PDF | View/Open |
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