Artikel
EM estimation for the Poisson-Inverse Gamma regression model with varying dispersion: An application to insurance ratemaking
This article presents the Poisson-Inverse Gamma regression model with varying dispersion for approximating heavy-tailed and overdispersed claim counts. Our main contribution is that we develop an Expectation-Maximization (EM) type algorithm for maximum likelihood (ML) estimation of the Poisson-Inverse Gamma regression model with varying dispersion. The empirical analysis examines a portfolio of motor insurance data in order to investigate the efficiency of the proposed algorithm. Finally, both the a priori and a posteriori, or Bonus-Malus, premium rates that are determined by the Poisson-Inverse Gamma model are compared to those that result from the classic Negative Binomial Type I and the Poisson-Inverse Gaussian distributions with regression structures for their mean and dispersion parameters.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 3 ; Pages: 1-23 ; Basel: MDPI
- Classification
-
Wirtschaft
- Subject
-
poisson-inverse gamma distribution
em algorithm
regression models for mean and dispersion parameters
motor third party liability insurance
ratemaking
- Event
-
Geistige Schöpfung
- (who)
-
Tzougas, George
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2020
- DOI
-
doi:10.3390/risks8030097
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Tzougas, George
- MDPI
Time of origin
- 2020
Other Objects (12)
Brownian motion in a renormalized inverse-square Poisson potential
Multivariate mixed Poisson Generalized Inverse Gaussian INAR(1) regression
Non-life insurance mathematics : an introduction with the Poisson process
Generalized Poisson models and their applications in insurance and finance
An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount
Filter regularization method for a time-fractional inverse advection–dispersion problem
Reliability of researcher capacity estimates and count data dispersion: a comparison of Poisson, negative binomial, and Conway-Maxwell-Poisson models
Inverse problems with poisson data : Tikhonov-type regularization and iteratively regularized Newton methods
Applicability of the inverse dispersion method to measure emissions from animal housings
Applicability of the inverse dispersion method to measure emissions from animal housings
![[Raymond Poissons; Raimpnd Poisson]](https://iiif.deutsche-digitale-bibliothek.de/image/2/8fed5bbe-0854-4a8e-a9b1-43f2caec3a34/full/!306,450/0/default.jpg)
[Raymond Poissons; Raimpnd Poisson]
A Neural Network for Moore—Penrose Inverse of Time-Varying Complex-Valued Matrices
Brownian motion in a renormalized inverse-square Poisson potential
Multivariate mixed Poisson Generalized Inverse Gaussian INAR(1) regression
Non-life insurance mathematics : an introduction with the Poisson process
Generalized Poisson models and their applications in insurance and finance
An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount
Filter regularization method for a time-fractional inverse advection–dispersion problem
Reliability of researcher capacity estimates and count data dispersion: a comparison of Poisson, negative binomial, and Conway-Maxwell-Poisson models
Inverse problems with poisson data : Tikhonov-type regularization and iteratively regularized Newton methods
Applicability of the inverse dispersion method to measure emissions from animal housings
Applicability of the inverse dispersion method to measure emissions from animal housings
[Raymond Poissons; Raimpnd Poisson]
A Neural Network for Moore—Penrose Inverse of Time-Varying Complex-Valued Matrices
Brownian motion in a renormalized inverse-square Poisson potential
Multivariate mixed Poisson Generalized Inverse Gaussian INAR(1) regression
Non-life insurance mathematics : an introduction with the Poisson process
Generalized Poisson models and their applications in insurance and finance
An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount
Filter regularization method for a time-fractional inverse advection–dispersion problem
Reliability of researcher capacity estimates and count data dispersion: a comparison of Poisson, negative binomial, and Conway-Maxwell-Poisson models
Inverse problems with poisson data : Tikhonov-type regularization and iteratively regularized Newton methods
Applicability of the inverse dispersion method to measure emissions from animal housings
Applicability of the inverse dispersion method to measure emissions from animal housings
[Raymond Poissons; Raimpnd Poisson]