Multivariate longitudinal modeling of insurance company expenses
Insurers, 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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- Sun, Jiafeng & Frees, Edward W. & Rosenberg, Marjorie A., 2008. "Heavy-tailed longitudinal data modeling using copulas," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 817-830, April.
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