Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/180409Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Bermúdez, Lluís | - |
| dc.contributor.author | Karlis, Dimitris | - |
| dc.date.accessioned | 2021-10-05T19:48:07Z | - |
| dc.date.available | 2021-10-05T19:48:07Z | - |
| dc.date.issued | 2021-03-01 | - |
| dc.identifier.issn | 2227-7390 | - |
| dc.identifier.uri | http://hdl.handle.net/2445/180409 | - |
| dc.description.abstract | A multivariate INAR(1) regression model based on the Sarmanov distribution is proposed for modelling claim counts from an automobile insurance contract with different types of coverage. The correlation between claims from different coverage types is considered jointly with the serial correlation between the observations of the same policyholder observed over time. Several models based on the multivariate Sarmanov distribution are analyzed. The new models offer some advantages since they have all the advantages of the MINAR(1) regression model but allow for a more flexible dependence structure by using the Sarmanov distribution. Driven by a real panel data set, these models are considered and fitted to the data to discuss their goodness of fit and computational efficiency. | - |
| dc.format.extent | 13 p. | - |
| 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/math9050505 | - |
| dc.relation.ispartof | Mathematics, 2021, vol. 9, num. 505, p. 1-13 | - |
| dc.relation.uri | https://doi.org/10.3390/math9050505 | - |
| dc.rights | cc-by (c) Bermúdez, Lluís et al., 2021 | - |
| dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
| dc.source | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) | - |
| dc.subject.classification | Anàlisi multivariable | - |
| dc.subject.classification | Anàlisi de regressió | - |
| dc.subject.classification | Teoria de l'estimació | - |
| dc.subject.classification | Assegurances d'automòbils | - |
| dc.subject.other | Multivariate analysis | - |
| dc.subject.other | Regression analysis | - |
| dc.subject.other | Estimation theory | - |
| dc.subject.other | Automobile insurance | - |
| dc.title | Multivariate INAR(1) Regression Models Based on the Sarmanov Distribution. | - |
| dc.type | info:eu-repo/semantics/article | - |
| dc.type | info:eu-repo/semantics/publishedVersion | - |
| dc.identifier.idgrec | 714281 | - |
| dc.date.updated | 2021-10-05T19:48:07Z | - |
| 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 | |
|---|---|---|---|---|
| 714281.pdf | 325.54 kB | Adobe PDF | View/Open |
This item is licensed under a
Creative Commons License
