Multivariate longitudinal modeling of insurance company expenses
AbstractInsurers, investors and regulators are interested in understanding the behavior of insurance company expenses, due to the high operating cost of the industry. Expense models can be used for prediction, to identify unusual behavior, and to measure firm efficiency. Current literature focuses on the study of total expenses that consist of three components: underwriting, investment and loss adjustment. A joint study of expenses by type is to deliver more information and is critical in understanding their relationship.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 51 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/inca/505554
Multivariate longitudinal model; Long-tail regression; Elliptical copula; Asymmetric Laplace distribution;
Find related papers by JEL classification:
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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