A New multivariate zero-inflated hurdle model with applications in automobile insurance
Objetos digitales
| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20220014977 | ||
| 003 | MAP | ||
| 005 | 20220520095734.0 | ||
| 008 | 220518e20220509esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a322 | ||
| 100 | 1 | $0MAPA20220005258$aZhang, Pengcheng | |
| 245 | 1 | 2 | $aA New multivariate zero-inflated hurdle model with applications in automobile insurance$cPengcheng Zhang, David Pitt, Xueyuan Wu |
| 520 | $aThe fact that a large proportion of insurance policyholders make no claims during a one-year period highlights the importance of zero-inflated count models when analyzing the frequency of insurance claims. There is a vast literature focused on the univariate case of zero-inflated count models, while work in the area of multivariate models is considerably less advanced. Given that insurance companies write multiple lines of insurance business, where the claim counts on these lines of business are often correlated, there is a strong incentive to analyze multivariate claim count models. Motivated by the idea of Liu and Tian (Computational Statistics and Data Analysis, 83, 200222; 2015), we develop a multivariate zero-inflated hurdle model to describe multivariate count data with extra zeros. This generalization offers more flexibility in modeling the behavior of individual claim counts while also incorporating a correlation structure between claim counts for different lines of insurance business. We develop an application of the expectationmaximization (EM) algorithm to enable the statistical inference necessary to estimate the parameters associated with our model. Our model is then applied to an automobile insurance portfolio from a major insurance company in Spain. We demonstrate that the model performance for the multivariate zero-inflated hurdle model is superior when compared to several alternatives. | ||
| 540 | $aLa copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"$f$uhttps://creativecommons.org/licenses/by/4.0$943 | ||
| 650 | 4 | $0MAPA20080603779$aSeguro de automóviles | |
| 650 | 4 | $0MAPA20080592028$aModelos de análisis | |
| 650 | 4 | $0MAPA20080632151$aTécnicas estadísticas multivariantes | |
| 700 | 1 | $0MAPA20150014030$aWu, Xueyuan | |
| 700 | 1 | $0MAPA20080031732$aPitt, David | |
| 773 | 0 | $wMAP20077000420$g09/05/2022 Volumen 52 Número 2 - mayo 2022 , p. 393-416$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association | |
| 856 | $qapplication/pdf$w1115367$yRecurso electrónico / Electronic resource |