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Título:
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A finite mixture of bivariate Poisson regression models with an application to insurance ratemaking
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Autor/a:
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Bermúdez, Lluís; Karlis, Dimitris
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Otros autores:
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Universitat de Barcelona |
Abstract:
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Bivariate Poisson regression models for ratemaking in car insurance have been previously used. They included zero-inflated models to account for the excess of zeros and the overdispersion in the data set. These models are now revisited in order to consider alternatives. A 2-finite mixture of bivariate Poisson regression models is used to demonstrate that the overdispersion in the data requires more structure if it is to be taken into account, and that a simple zero-inflated bivariate Poisson model does not suffice. At the same time, it is shown that a finite mixture of bivariate Poisson regression models embraces zero-inflated bivariate Poisson regression models as a special case. Finally, an EM algorithm is provided in order to ensure the models' ease-of-fit. These models are applied to an automobile insurance claims data set and it is shown that the modeling of the data set can be improved considerably. |
Materia(s):
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-Inflació -Anàlisi de regressió -Assegurances d'accidents -Variables (Matemàtica) -Inflation -Regression analysis -Accident insurance -Variables (Mathematics) |
Derechos:
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(c) Elsevier B.V., 2012
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Tipo de documento:
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Artículo Artículo - Versión aceptada |
Editor:
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Elsevier B.V.
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