Name
Title | ||
|---|---|---|
A finite mixture of bivariate Poisson regression models with an application to insurance ratemaking |
Abstract | ||
|---|---|---|
Bivariate Poisson regression models for ratemaking in car insurance have been previously used. They included zero-inflated models to account for the excess of zeros and the overdispersion in the data set. These models are now revisited in order to consider alternatives. A 2-finite mixture of bivariate Poisson regression models is used to demonstrate that the overdispersion in the data requires more structure if it is to be taken into account, and that a simple zero-inflated bivariate Poisson model does not suffice. At the same time, it is shown that a finite mixture of bivariate Poisson regression models embraces zero-inflated bivariate Poisson regression models as a special case. Finally, an EM algorithm is provided in order to ensure the models' ease-of-fit. These models are applied to an automobile insurance claims data set and it is shown that the modeling of the data set can be improved considerably. |
Year | DOI | Venue |
|---|---|---|
2012 | 10.1016/j.csda.2012.05.016 | Computational Statistics & Data Analysis |
Keywords | Field | DocType |
insurance ratemaking,special case,finite mixture,zero-inflated model,bivariate poisson regression model,automobile insurance claims data,car insurance,2-finite mixture,em algorithm,simple zero-inflated bivariate poisson,overdispersion | Econometrics,Quasi-likelihood,Overdispersion,Expectation–maximization algorithm,A priori and a posteriori,Poisson regression,Statistics,Bivariate analysis,Finite mixture,Mathematics,Special case | Journal |
Volume | Issue | ISSN |
56 | 12 | 0167-9473 |
Citations | PageRank | References |
2 | 0.45 | 3 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Lluís Bermúdez | 1 | 2 | 0.79 |
| Dimitris Karlis | 2 | 149 | 20.71 |