User: Guest  Login
Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
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...     »
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:
doi:10.1111/sjos.12566
WWW:
Wiley
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
 BibTeX