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http://hdl.handle.net/2445/106474
Title: | A finite mixture of bivariate Poisson regression models with an application to insurance ratemaking |
Author: | Bermúdez, Lluís Karlis, Dimitris |
Keywords: | Inflació Anàlisi de regressió Assegurances d'accidents Variables (Matemàtica) Inflation Regression analysis Accident insurance Variables (Mathematics) |
Issue Date: | Dec-2012 |
Publisher: | Elsevier B.V. |
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 |
URI: | http://hdl.handle.net/2445/106474 |
Related resource: | https://doi.org/10.1016/j.csda.2012.05.016 |
ISSN: | 0167-9473 |
Appears in Collections: | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) |
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