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DC Field | Value | Language |
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dc.contributor.author | Alemany Leira, Ramon | - |
dc.contributor.author | Bolancé Losilla, Catalina | - |
dc.contributor.author | Rodrigo Marqués, Roberto | - |
dc.contributor.author | Vernic, Raluca | - |
dc.date.accessioned | 2021-02-10T08:45:19Z | - |
dc.date.available | 2021-02-10T08:45:19Z | - |
dc.date.issued | 2021-01-01 | - |
dc.identifier.issn | 2227-7390 | - |
dc.identifier.uri | http://hdl.handle.net/2445/173804 | - |
dc.description.abstract | The aim of this paper is to introduce dependence between the claim frequency and the average severity of a policyholder or of an insurance portfolio using a bivariate Sarmanov distribution, that allows to join variables of different types and with different distributions, thus being a good candidate for modeling the dependence between the two previously mentioned random variables. To model the claim frequency, a generalized linear model based on a mixed Poisson distribution -like for example, the Negative Binomial (NB), usually works. However, finding a distribution for the claim severity is not that easy. In practice, the Lognormal distribution fits well in many cases. Since the natural logarithm of a Lognormal variable is Normal distributed, this relation is generalised using the Box-Cox transformation to model the average claim severity. Therefore, we propose a bivariate Sarmanov model having as marginals a Negative Binomial and a Normal Generalized Linear Models (GLMs), also depending on the parameters of the Box-Cox transformation. We apply this model to the analysis of the frequency-severity bivariate distribution associated to a pay-as-you-drive motor insurance portfolio with explanatory telematic variables. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | MDPI | - |
dc.relation.isformatof | Reproducció del document publicat a: https://doi.org/10.3390/math9010073 | - |
dc.relation.ispartof | Mathematics, 2021, vol. 1, num. 9 | - |
dc.relation.uri | https://doi.org/10.3390/math9010073 | - |
dc.rights | cc-by (c) Alemany Leira, Ramon et al., 2021 | - |
dc.rights.uri | http://creativecommons.org/licenses/by/3.0/es | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Risc (Assegurances) | - |
dc.subject.classification | Assegurances d'automòbils | - |
dc.subject.classification | Models lineals (Estadística) | - |
dc.subject.classification | Variables (Matemàtica) | - |
dc.subject.other | Risk (Insurance) | - |
dc.subject.other | Automobile insurance | - |
dc.subject.other | Linear models (Statistics) | - |
dc.subject.other | Variables (Mathematics) | - |
dc.title | Bivariate Mixed Poisson and Normal Generalised Linear Models with Sarmanov Dependence An Application to Model Claim Frequency and Optimal Transformed Average Severity | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 706515 | - |
dc.date.updated | 2021-02-10T08:45:19Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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706515.pdf | 350.57 kB | Adobe PDF | View/Open |
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