Artikel
Multivariate frequency-severity regression models in insurance
In insurance and related industries including healthcare, it is common to have several outcome measures that the analyst wishes to understand using explanatory variables. For example, in automobile insurance, an accident may result in payments for damage to one's own vehicle, damage to another party's vehicle, or personal injury. It is also common to be interested in the frequency of accidents in addition to the severity of the claim amounts. This paper synthesizes and extends the literature on multivariate frequency-severity regression modeling with a focus on insurance industry applications. Regression models for understanding the distribution of each outcome continue to be developed yet there now exists a solid body of literature for the marginal outcomes. This paper contributes to this body of literature by focusing on the use of a copula for modeling the dependence among these outcomes; a major advantage of this tool is that it preserves the body of work established for marginal models. We illustrate this approach using data from the Wisconsin Local Government Property Insurance Fund. This fund offers insurance protection for (i) property; (ii) motor vehicle; and (iii) contractors' equipment claims. In addition to several claim types and frequency-severity components, outcomes can be further categorized by time and space, requiring complex dependency modeling. We find significant dependencies for these data; specifically, we find that dependencies among lines are stronger than the dependencies between the frequency and average severity within each line.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 4 ; Year: 2016 ; Issue: 1 ; Pages: 1-36 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
tweedie distribution
copula regression
government insurance
dependency modeling
inflated count model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Frees, Edward W.
Lee, Gee
Yang, Lu
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2016
- DOI
-
doi:10.3390/risks4010004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Frees, Edward W.
- Lee, Gee
- Yang, Lu
- MDPI
Entstanden
- 2016
Ähnliche Objekte (12)
Living with Control, Working with Control : Reflections of Israeli Journalists
Soft sensor method of multimode BOF steelmaking endpoint carbon content and temperature based on vMF-WSAE dynamic deep learning
A comprehensive evaluation of microbial differential abundance analysis methods: current status and potential solutions
Factors associated with Chinese herbal medicine use among middle-aged and older women with arthritis: evidence from China
A hierarchical classification method for finger knuckle print recognition
The direct and accurate determination of major elements Ca, K, Mg and Na in water by HR-ICPMS
Global solutions to a two-species chemotaxis system with singular sensitivity and logistic source
MafB, a target of microRNA-155, regulates dendritic cell maturation
Incompressible limit for compressible viscoelastic flows with large velocity
A counterexample to the Nelson-Seiberg theorem
Winsorization greatly reduces false positives by popular differential expression methods when analyzing human population samples
A prospective analysis of physical activity and mental health in children: the GECKO Drenthe cohort
Living with Control, Working with Control : Reflections of Israeli Journalists
Soft sensor method of multimode BOF steelmaking endpoint carbon content and temperature based on vMF-WSAE dynamic deep learning
A comprehensive evaluation of microbial differential abundance analysis methods: current status and potential solutions
Factors associated with Chinese herbal medicine use among middle-aged and older women with arthritis: evidence from China
A hierarchical classification method for finger knuckle print recognition
The direct and accurate determination of major elements Ca, K, Mg and Na in water by HR-ICPMS
Global solutions to a two-species chemotaxis system with singular sensitivity and logistic source
MafB, a target of microRNA-155, regulates dendritic cell maturation
Incompressible limit for compressible viscoelastic flows with large velocity
A counterexample to the Nelson-Seiberg theorem
Winsorization greatly reduces false positives by popular differential expression methods when analyzing human population samples
A prospective analysis of physical activity and mental health in children: the GECKO Drenthe cohort
Living with Control, Working with Control : Reflections of Israeli Journalists
Soft sensor method of multimode BOF steelmaking endpoint carbon content and temperature based on vMF-WSAE dynamic deep learning
A comprehensive evaluation of microbial differential abundance analysis methods: current status and potential solutions
Factors associated with Chinese herbal medicine use among middle-aged and older women with arthritis: evidence from China
A hierarchical classification method for finger knuckle print recognition
The direct and accurate determination of major elements Ca, K, Mg and Na in water by HR-ICPMS
Global solutions to a two-species chemotaxis system with singular sensitivity and logistic source
MafB, a target of microRNA-155, regulates dendritic cell maturation
Incompressible limit for compressible viscoelastic flows with large velocity
A counterexample to the Nelson-Seiberg theorem
Winsorization greatly reduces false positives by popular differential expression methods when analyzing human population samples