کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076530 | 1477213 | 2015 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bayesian total loss estimation using shared random effects
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The pricing of insurance policies requires estimates of the total loss. The traditional compound model imposes an independence assumption on the number of claims and their individual sizes. Bivariate models, which model both variables jointly, eliminate this assumption. A regression approach allows policy holder characteristics and product features to be included in the model. This article presents a bivariate model that uses joint random effects across both response variables to induce dependence effects. Bayesian posterior estimation is done using Markov Chain Monte Carlo (MCMC) methods. A real data example demonstrates that our proposed model exhibits better fitting and forecasting capabilities than existing models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 62, May 2015, Pages 194-201
Journal: Insurance: Mathematics and Economics - Volume 62, May 2015, Pages 194-201
نویسندگان
Carolin Baumgartner, Lutz F. Gruber, Claudia Czado,