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Document type:
Zeitschriftenaufsatz 
Author(s):
Yang, Lu; Czado, Claudia 
Title:
Two‐part D‐vine copula models for longitudinal insurance claim data 
Abstract:
In short-term nonlife (e.g., car and homeowner) insurance, policies are renewed yearly. Insurance companies typically keep track of each policyholder’s claims per year, resulting in longitudinal data. Efficient modeling of time dependence in longitudinal claim data will improve the prediction of future claims needed for routine actuarial practice, such as ratemaking. Insurance claim data usually follow a two-part mixed distribution: a probability mass at zero corresponding to no claim and anothe...    »
 
Keywords:
mixed data, property insurance, stationary 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Scandinavian Journal of Statistics 
Year:
2022 
Year / month:
2022-01 
Quarter:
1. Quartal 
Month:
Jan 
Language:
en 
Fulltext / DOI:
WWW:
Publisher:
Wiley 
E-ISSN:
0303-68981467-9469 
Notes:
published online: 07 January 2022 
Date of publication:
02.02.2022 
Semester:
WS 21-22 
TUM Institution:
Professur für Angewandte Mathematische Statistik 
Format:
Text