Multivariate Zero-Inflated Inar(1) Model with an Application in Automobile Insurance

Zhang, Pengcheng; Chen, Zezhun; Tzougas, George; Wu, Xin; Dassios, Angelos; Wu, Xueyuan

doi:10.2139/ssrn.4170555

SSRN Journal

2022

DOI: 10.2139/ssrn.4170555

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Multivariate Zero-Inflated Inar(1) Model with an Application in Automobile Insurance

Pengcheng Zhang

Zezhun Chen

George Tzougas

et al.

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2023

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Bayesian premium of a credibility model based on a heterogeneous SETINAR(2, 1) process

Zhang,

Cheng

2023

MATH

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<abstract><p>In this paper, we propose a new credibility model based on heterogeneous integer-valued self-exciting threshold autoregressive time series, in which the SETINAR(2, 1) process is used to fit the claim numbers of policyholders for consecutive periods, and the unobservable heterogeneity is assumed to follow Gamma distribution. We obtain the Bayesian pricing formula for the proposed model and present some numerical examples to illustrate how the claim history affects the future premiums. We also apply the proposed model to a real panel dataset from the Wisconsin Local Government Property Insurance Fund. By comparing with some existing models, we find that our model can exploit the past information more efficiently and has better predictive performance.</p></abstract>

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Bayesian premium of a credibility model based on a heterogeneous SETINAR(2, 1) process

Zhang,

Cheng

2023

MATH

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Multivariate Zero-Inflated Inar(1) Model with an Application in Automobile Insurance

Cited by 1 publication

References 40 publications

Bayesian premium of a credibility model based on a heterogeneous SETINAR(2, 1) process

Bayesian premium of a credibility model based on a heterogeneous SETINAR(2, 1) process

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