Phase-type distributions for claim severity regression modeling

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<title>Phase-type distributions for claim severity regression modeling</title>
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<namePart>Bladt, Martin</namePart>
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<abstract displayLabel="Summary">This paper addresses the task of modeling severity losses using segmentation when the data distribution does not fall into the usual regression frameworks. This situation is not uncommon in lines of business such as third-party liability insurance, where heavy-tails and multimodality often hamper a direct statistical analysis. We propose to use regression models based on phase-type distributions, regressing on their underlying inhomogeneous Markov intensity and using an extension of the expectationmaximization algorithm. These models are interpretable and tractable in terms of multistate processes and generalize the proportional hazards specification when the dimension of the state space is larger than 1. We show that the combination of matrix parameters, inhomogeneity transforms, and covariate information provides flexible regression models that effectively capture the entire distribution of loss severities.

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<accessCondition type="use and reproduction">La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"</accessCondition>
<note type="statement of responsibility">Martin Bladt</note>
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<topic>Cálculo actuarial</topic>
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<topic>Matemática del seguro</topic>
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<topic>Regresión no lineal</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>09/05/2022 Volumen 52 Número 2 - mayo 2022 , p. 417 - 448</text>
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