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Multivariate longitudinal modeling of insurance company expenses


  • Shi, Peng


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.

Suggested Citation

  • Shi, Peng, 2012. "Multivariate longitudinal modeling of insurance company expenses," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 204-215.
  • Handle: RePEc:eee:insuma:v:51:y:2012:i:1:p:204-215 DOI: 10.1016/j.insmatheco.2011.08.011

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    References listed on IDEAS

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    Cited by:

    1. Shi, Peng & Feng, Xiaoping & Ivantsova, Anastasia, 2015. "Dependent frequency–severity modeling of insurance claims," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 417-428.
    2. Shi, Peng & Valdez, Emiliano A., 2014. "Multivariate negative binomial models for insurance claim counts," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 18-29.
    3. repec:gam:jrisks:v:4:y:2016:i:1:p:4:d:64467 is not listed on IDEAS
    4. Edward W. Frees & Gee Lee & Lu Yang, 2016. "Multivariate Frequency-Severity Regression Models in Insurance," Risks, MDPI, Open Access Journal, vol. 4(1), pages 1-36, February.

    More about this item


    Multivariate longitudinal model; Long-tail regression; Elliptical copula; Asymmetric Laplace distribution;

    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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