Pesquisa de referências

EM estimation for bivariate mixed poisson INAR(1) claim count regression models with correlated random effects

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>EM estimation for bivariate mixed poisson INAR(1) claim count regression models with correlated random effects</title>
</titleInfo>
<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20240021139">
<namePart>Chen, Zezhun </namePart>
<nameIdentifier>MAPA20240021139</nameIdentifier>
</name>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20120016989">
<namePart>Dassios, A.</namePart>
<nameIdentifier>MAPA20120016989</nameIdentifier>
</name>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20140009800">
<namePart>Tzougas, George</namePart>
<nameIdentifier>MAPA20140009800</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">che</placeTerm>
</place>
<dateIssued encoding="marc">2024</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">eng</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">This article considers bivariate mixed Poisson INAR(1) regression models with correlated random effects for modelling correlations of different signs and magnitude among time series of different types of claim counts. This is the first time that the proposed family of INAR(1) models is used in a statistical or actuarial context. For expository purposes, the bivariate mixed Poisson INAR(1) claim count regression models with correlated Lognormal and Gamma random effects paired via a Gaussian copula are presented as competitive alternatives to the classical bivariate Negative Binomial INAR(1) claim count regression model which only allows for positive dependence between the time series of claim count responses. Our main achievement is that we develop novel alternative Expectation-Maximization type algorithms for maximum likelihood estimation of the parameters of the models which are demonstrated to perform satisfactory when the models are fitted to Local Government Property Insurance Fund data from the state of Wisconsin</abstract>
<note type="statement of responsibility">Zezhun Chen, Angelos Dassios and George Tzougas</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602437">
<topic>Matemática del seguro</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080556495">
<topic>Siniestros</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080545338">
<topic>Seguros</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080586294">
<topic>Mercado de seguros</topic>
</subject>
<classification authority="">6</classification>
<location>
<url displayLabel="electronic resource" usage="primary display">https://link.springer.com/article/10.1007/s13385-023-00351-7</url>
</location>
<relatedItem type="host">
<titleInfo>
<title>European Actuarial Journal</title>
</titleInfo>
<originInfo>
<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
</originInfo>
<identifier type="local">MAP20220007085</identifier>
<part>
<text>15/04/2024 Volúmen 14 - Número 1 - abril 2024 , p.225-255</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">240830</recordCreationDate>
<recordChangeDate encoding="iso8601">20240902115320.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20240013622</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>