Flexible (panel) regression models for bivariate count-continuous data with an insurance application

被引：6
作者：
Lu, Yang [1 ]
机构：
[1] Univ Paris 13, Villetaneuse, Ile De France, France
来源：
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY | 2019年 / 182卷 / 04期
关键词：
Mixed data; Polynomial expansion; Random effect; Sequential forecasting and pricing; LATENT VARIABLE MODELS; MIXED DISCRETE; POISSON;
D O I：
10.1111/rssa.12470
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
We propose a flexible regression model that is suitable for mixed count-continuous panel data. The model is based on a compound Poisson representation of the continuous variable, with bivariate random effect following a polynomial-expansion-based joint density. Besides the distributional flexibility that it offers, the model allows for closed form forecast updating formulae. This property is especially important for insurance applications, in which the future individual insurance premium should be regularly updated according to one's own past claim history. An application to vehicle insurance claims is provided.
引用
收藏
页码：1503 / 1521
页数：19
相关论文
共 27 条
  • [21] A FLEXIBLE MODEL FOR CORRELATED COUNT DATA, WITH APPLICATION TO MULTICONDITION DIFFERENTIAL EXPRESSION ANALYSES OF SINGLE-CELL RNA SEQUENCING DATA
    Liu, Yusha
    Carbonetto, Peter
    Takahama, Michihiro
    Gruenbaum, Adam
    Xie, Dongyue
    Chevrier, Nicolas
    Stephens, Matthew
    ANNALS OF APPLIED STATISTICS, 2024, 18 (03) : 2551 - 2575
  • [22] ADJUSTED REGULARIZATION IN LATENT GRAPHICAL MODELS: APPLICATION TO MULTIPLE-NEURON SPIKE COUNT DATA
    Vinci, Giuseppe
    Ventura, Valerie
    Smith, Matthew A.
    Kass, Robert E.
    ANNALS OF APPLIED STATISTICS, 2018, 12 (02) : 1068 - 1095
  • [23] Bayesian models for spatial count data with informative finite populations with application to the American community survey
    Qu, Kai
    Bradley, Jonathan R.
    JOURNAL OF APPLIED STATISTICS, 2023, 50 (13) : 2701 - 2716
  • [24] Zero-Inflated Models for Count Data: An Application to Number of Antenatal Care Service Visits
    Bekalo D.B.
    Kebede D.T.
    Annals of Data Science, 2021, 8 (04) : 683 - 708
  • [25] GEE estimation of the covariance structure of a bivariate panel data model with an application to wage dynamics and the incidence of profit-sharing in West Germany
    Pannenberg, Markus
    Spiess, Martin
    ASTA-ADVANCES IN STATISTICAL ANALYSIS, 2009, 93 (04) : 427 - 447
  • [26] Multilevel cumulative logistic regression model with random effects: Application to British social attitudes panel survey data
    Chan, Moon-tong
    Yu, Dalei
    Yau, Kelvin K. W.
    COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2015, 88 : 173 - 186
  • [27] Functional linear models for zero-inflated count data with application to modeling hospitalizations in patients on dialysis
    Sentuerk, Damla
    Dalrymple, Lorien S.
    Nguyen, Danh V.
    STATISTICS IN MEDICINE, 2014, 33 (27) : 4825 - 4840
123