User: Guest  Login
Document type:
Zeitungsartikel 
Author(s):
Baumgartner, C., Gruber, L., and Czado, C. 
Title:
Bayesian total loss estimation using shared random effects 
Abstract:
The pricing of insurance policies requires estimates of the total loss. The traditional compound model imposes an independence assumption on the number of claims and their individual sizes. Bivariate models, which model both variables jointly, eliminate this assumption. A regression approach allows policy holder characteristics and product features to be included in the model. This article presents a bivariate model that uses joint random effects across both response variables to induce dependen...    »
 
Keywords:
Total loss, Claim size, Claim count, Shared parameter model, Dependence, Generalized linear mixed model, Bayesian inference, Markov Chain Monte Carlo 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Insurance: Mathematics and Economics 
Year:
2015 
Journal volume:
62 
Year / month:
2015-05 
Quarter:
2. Quartal 
Month:
May 
Pages contribution:
194-201 
Reviewed:
ja 
Language:
en 
Publisher:
Elsevier 
Notes:
Available online: 31 March 2015 
Status:
Verlagsversion / published 
Accepted:
25.02.2015 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text