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Titel:

Two‐part D‐vine copula models for longitudinal insurance claim data

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Yang, Lu; Czado, Claudia
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...     »
Stichworte:
mixed data, property insurance, stationary
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Scandinavian Journal of Statistics
Jahr:
2022
Jahr / Monat:
2022-01
Quartal:
1. Quartal
Monat:
Jan
Sprache:
en
Volltext / DOI:
doi:10.1111/sjos.12566
WWW:
Wiley
Verlag / Institution:
Wiley
E-ISSN:
0303-68981467-9469
Hinweise:
published online: 07 January 2022
Publikationsdatum:
02.02.2022
Semester:
WS 21-22
TUM Einrichtung:
Professur für Angewandte Mathematische Statistik
Format:
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