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Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape

Citations

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Cited by:

  1. Aivars Spilbergs & Andris Fomins & Māris Krastiņš, 2022. "Multivariate Modelling of Motor Third Party Liability Insurance Claims," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 8(1), pages 5-18.
  2. Devriendt, Sander & Antonio, Katrien & Reynkens, Tom & Verbelen, Roel, 2021. "Sparse regression with Multi-type Regularized Feature modeling," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 248-261.
  3. Buchholz, Matthias & Holst, Gesa & Musshoff, Oliver, 2015. "Water and irrigation policy impact assessment using business simulation games: evidence from northern Germany," Department of Agricultural and Rural Development (DARE) Discussion Papers 260781, Georg-August-Universitaet Goettingen, Department of Agricultural Economics and Rural Development (DARE).
  4. Cadena, Meitner & Denuit, Michel, 2016. "Semi-parametric accelerated hazard relational models with applications to mortality projections," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 1-16.
  5. Yves Staudt & Joël Wagner, 2021. "Assessing the Performance of Random Forests for Modeling Claim Severity in Collision Car Insurance," Risks, MDPI, vol. 9(3), pages 1-28, March.
  6. Tzougas, George & Yik, Woo Hee & Mustaqeem, Muhammad Waqar, 2019. "Insurance ratemaking using the Exponential-Lognormal regression model," LSE Research Online Documents on Economics 101729, London School of Economics and Political Science, LSE Library.
  7. Alexander Sohn, 2015. "Beyond Conventional Wage Discrimination Analysis: Assessing Comprehensive Wage Distributions of Males and Females Using Structured Additive Distributional Regression," SOEPpapers on Multidisciplinary Panel Data Research 802, DIW Berlin, The German Socio-Economic Panel (SOEP).
  8. Tzougas, George & Vrontos, Spyridon D. & Frangos, Nickolaos E., 2015. "Risk classification for claim counts and losses using regression models for location, scale and shape," LSE Research Online Documents on Economics 70921, London School of Economics and Political Science, LSE Library.
  9. Mihaela Covrig & Iulian Mircea & Gheorghita Zbaganu & Alexandru Coser & Alexandru Tindeche, 2015. "Using R In Generalized Linear Models," Romanian Statistical Review, Romanian Statistical Review, vol. 63(3), pages 33-45, September.
  10. Denuit, Michel M. & Mesfioui, Mhamed, 2017. "Bounds on Kendall’s tau for zero-inflated continuous variables," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 173-178.
  11. Nadja Klein & Thomas Kneib & Stefan Lang, 2015. "Bayesian Generalized Additive Models for Location, Scale, and Shape for Zero-Inflated and Overdispersed Count Data," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 405-419, March.
  12. Li, Zhengxiao & Wang, Fei & Zhao, Zhengtang, 2024. "A new class of composite GBII regression models with varying threshold for modeling heavy-tailed data," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 45-66.
  13. Shengkun Xie & Anna T. Lawniczak, 2018. "Estimating Major Risk Factor Relativities in Rate Filings Using Generalized Linear Models," IJFS, MDPI, vol. 6(4), pages 1-14, October.
  14. Tzougas, George & Vrontos, Spyridon & Frangos, Nicholas, 2018. "Bonus-Malus systems with two component mixture models arising from different parametric families," LSE Research Online Documents on Economics 84301, London School of Economics and Political Science, LSE Library.
  15. Yves Staudt & Joël Wagner, 2022. "Factors Driving Duration to Cross-Selling in Non-Life Insurance: New Empirical Evidence from Switzerland," Risks, MDPI, vol. 10(10), pages 1-20, September.
  16. Mihaela COVRIG & Dumitru BADEA, 2017. "Some Generalized Linear Models for the Estimation of the Mean Frequency of Claims in Motor Insurance," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 91-107.
  17. Christopher Blier-Wong & Hélène Cossette & Luc Lamontagne & Etienne Marceau, 2020. "Machine Learning in P&C Insurance: A Review for Pricing and Reserving," Risks, MDPI, vol. 9(1), pages 1-26, December.
  18. Tzougas, George, 2020. "EM estimation for the Poisson-Inverse Gamma regression model with varying dispersion: an application to insurance ratemaking," LSE Research Online Documents on Economics 106539, London School of Economics and Political Science, LSE Library.
  19. Deprez, Laurens & Antonio, Katrien & Boute, Robert, 2023. "Empirical risk assessment of maintenance costs under full-service contracts," European Journal of Operational Research, Elsevier, vol. 304(2), pages 476-493.
  20. László Martinek, 2019. "Analysis of Stochastic Reserving Models By Means of NAIC Claims Data," Risks, MDPI, vol. 7(2), pages 1-27, June.
  21. Michelle Xia, 2018. "Bayesian Adjustment for Insurance Misrepresentation in Heavy-Tailed Loss Regression," Risks, MDPI, vol. 6(3), pages 1-16, August.
  22. George Tzougas, 2020. "EM Estimation for the Poisson-Inverse Gamma Regression Model with Varying Dispersion: An Application to Insurance Ratemaking," Risks, MDPI, vol. 8(3), pages 1-23, September.
  23. Fuzi, Mohd Fadzli Mohd & Jemain, Abdul Aziz & Ismail, Noriszura, 2016. "Bayesian quantile regression model for claim count data," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 124-137.
  24. Denuit, Michel & Legrand, Catherine, 2016. "Risk Classification in Life Insurance: Extension to Continuous Covariates," LIDAM Discussion Papers ISBA 2016045, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  25. Sohn, Alexander & Klein, Nadja & Kneib, Thomas, 2014. "A new semiparamtetric approach to analysing Conditional Income Distributions," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100630, Verein für Socialpolitik / German Economic Association.
  26. Tzougas, George & Karlis, Dimitris, 2020. "An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion," LSE Research Online Documents on Economics 104027, London School of Economics and Political Science, LSE Library.
  27. Sarra Ghaddab & Manel Kacem & Christian Peretti & Lotfi Belkacem, 2023. "Extreme severity modeling using a GLM-GPD combination: application to an excess of loss reinsurance treaty," Empirical Economics, Springer, vol. 65(3), pages 1105-1127, September.
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