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2020-10-01

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cc-by (c) Bolancé Losilla, Catalina et al., 2020
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/174610

A Sarmanov Distribution with Beta Marginals: An Application to Motor Insurance Pricing

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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.

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https://doi.org/10.3390/math8112020

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Risc (Assegurances), Assegurances d'automòbils, Anàlisi de regressió, Distribució (Teoria de la probabilitat), Control predictiu

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Risk (Insurance), Automobile insurance, Regression analysis, Distribution (Probability theory), Predictive control

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Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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BOLANCÉ LOSILLA, Catalina, GUILLÉN, Montserrat and PITARQUE, Albert. A Sarmanov Distribution with Beta Marginals: An Application to Motor Insurance Pricing. Mathematics. 2020. Vol. 8, num. 11, pags. 2020. ISSN 2227-7390. [consulted: 6 of October of 2026]. Available at: https://hdl.handle.net/2445/174610

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