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Document type:
Zeitschriftenaufsatz 
Author(s):
Gschlößl, S. and Czado, C. 
Title:
Spatial modelling of claim frequency and claim size in non-life insurance 
Abstract:
In this paper models for claim frequency and average claim size in non-life insurance are considered. Both covariates and spatial random effects are included allowing the modelling of a spatial dependency pattern. We assume a Poisson model for the number of claims, while claim size is modelled using a Gamma distribution. However, in contrast to the usual compound Poisson model, we allow for dependencies between claim size and claim frequency. A fully Bayesian approach is followed, parameters...    »
 
Keywords:
compound Poisson model, non-life insurance, proper scoring rules, spatial regression models, Bayesian inference 
Journal title:
Scandinavian Actuarial Journal 
Year:
2007 
Journal volume:
107 
Pages contribution:
202-225 
Reviewed:
ja 
Language:
en 
Semester:
SS 07 
Format:
Text