Fitting Nonstationary Cox Processes : An application to fire insurance data
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20210024344 | ||
| 003 | MAP | ||
| 005 | 20210723085913.0 | ||
| 008 | 210722e2021 esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a320 | ||
| 100 | $0MAPA20080650025$aAlbrecher, Hansjörg | ||
| 245 | 1 | 0 | $aFitting Nonstationary Cox Processes$b: An application to fire insurance data$cHansjorg Albrecher, José Carlos Araujo-Acuna, Jan Beirlant |
| 520 | $aIn insurance practice, claims often occur in clusters and their arrivals may depend on various external and time-dependent factors. In this article, we propose a statistical approach for modeling claim arrivals by considering clustered arrivals and non-stationarity simultaneously. To this end, we extend the Cox process methodology with Lévy subordinators presented in Selch and Scherer (2018) relaxing the stationarity of increments assumption. A particular special case of the proposed approach is a dynamic and flexible model of negative binomially distributed claim numbers with trends and seasonal variations of the parameters. For illustration purposes, we fit the model to a fire insurance portfolio and show that it allows the modeling of cluster occurrences in a seasonal pattern while preserving overdispersion, which is frequently observed in claim count data. We illustrate its use in forecasting and Value-at-Risk and expected shortfall computations of the aggregate insurance risk. Finally, we provide a multivariate extension of the model, where simultaneous cluster arrivals in different components are generated by a nonstationary common subordinator. | ||
| 650 | 4 | $0MAPA20080590567$aEmpresas de seguros | |
| 650 | 4 | $0MAPA20080586294$aMercado de seguros | |
| 650 | 4 | $0MAPA20080567118$aReclamaciones | |
| 650 | 4 | $0MAPA20080587871$aSeguro de incendio | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 700 | 1 | $0MAPA20210030079$aAraujo-Acuna, José Carlos | |
| 700 | 1 | $0MAPA20110007928$aBeirlant, Jan | |
| 773 | 0 | $wMAP20077000239$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997-$x1092-0277$g01/06/2021 Tomo 25 Número 2 - 2021 , p. 135-162 |