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IR20-009_Vernic+Bolance+Alemany.pdf (3.23 MB)

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Working paper

Publication date

2020

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cc-by-nc-nd, (c) Vernic, Raluca et al., 2019
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/169492

The bivariate Sarmanov distribution for insurance claim frequencies and average severities

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Abstract

Real data studies emphasized situations where the classical independence assumption between the frequency and the severity of claims does not hold in the collective model. Therefore, there is an increasing interest in defining models that capture this dependence. In this paper, we introduce such a model based on Sarmanov’s bivariate distribution, which has the ability of joining different types of marginals in flexible dependence structures. More precisely, we join the claims frequency and the average severity by means of this distribution. We also suggest a maximum likelihood estimation procedure to estimate the parameters and illustrate it both on simulated and real data.

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Variables (Matemàtica), Teoria de distribucions (Anàlisi funcional), Teoria de l'estimació

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Variables (Mathematics), Theory of distributions (Functional analysis), Estimation theory

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Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

Citation

VERNIC, Raluca, BOLANCÉ LOSILLA, Catalina and ALEMANY LEIRA, Ramon. The bivariate Sarmanov distribution for insurance claim frequencies and average severities. IREA – Working Papers. 2020. Vol.  IR20/09. [consulted: 16 of August of 2026]. Available at: https://hdl.handle.net/2445/169492

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