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http://hdl.handle.net/2445/174610| Title: | A Sarmanov Distribution with Beta Marginals: An Application to Motor Insurance Pricing |
| Author: | Bolancé Losilla, Catalina Guillén, Montserrat Pitarque, Albert |
| Keywords: | Risc (Assegurances) Assegurances d'automòbils Anàlisi de regressió Distribució (Teoria de la probabilitat) Control predictiu Risk (Insurance) Automobile insurance Regression analysis Distribution (Probability theory) Predictive control |
| Issue Date: | 1-Oct-2020 |
| Publisher: | MDPI |
| Abstract: | Background: The Beta distribution is useful for fitting variables that measure a probability or a relative frequency. Methods: We propose a Sarmanov distribution with Beta marginals specified as generalised linear models. We analyse its theoretical properties and its dependence limits. Results: We use a real motor insurance sample of drivers and analyse the percentage of kilometres driven above the posted speed limit and the percentage of kilometres driven at night, together with some additional covariates. We fit a Beta model for the marginals of the bivariate Sarmanov distribution. Conclusions: We find negative dependence in the high quantiles indicating that excess speed and night-time driving are not uniformly correlated. |
| Note: | Reproducció del document publicat a: https://doi.org/10.3390/math8112020 |
| It is part of: | Mathematics, 2020, vol. 8, num. 11, p. 2020 |
| URI: | http://hdl.handle.net/2445/174610 |
| Related resource: | https://doi.org/10.3390/math8112020 |
| ISSN: | 2227-7390 |
| Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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