Search
Documentation Center

A New multivariate zero-inflated hurdle model with applications in automobile insurance
A New multivariate zero-inflated hurdle model with applications in automobile insurance
 Recurso electrónico / Electronic resource
Objetos digitales
Collection: Articles
Title: A New multivariate zero-inflated hurdle model with applications in automobile insurance / Pengcheng Zhang, David Pitt, Xueyuan WuAuthor: Zhang, Pengcheng ‌
Notes: Sumario: The 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.

Related records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 09/05/2022 Volumen 52 Número 2 - mayo 2022 , p. 393-416Materia / lugar / evento: Seguro de automóviles ‌Modelos de análisis ‌Técnicas estadísticas multivariantes ‌Otros autores: Wu, Xueyuan ‌
Pitt, David ‌
Other categories: 322
Rights: La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"
‌ See issue detail