English, Article edition: Joint modelling of the total amount and the number of claims by conditionals Sarabia, José María; Guillén, Montserrat

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/10816
Physical Description
  • article
Language
  • English

Edition details

Title
  • Joint modelling of the total amount and the number of claims by conditionals
Author
  • Sarabia, José María
  • Guillén, Montserrat
Physical Description
  • article
Notes
  • In the risk theory context, let us consider the classical collective model. The aim of this paper is to obtain a flexible bivariate joint distribution for modelling the couple (S,N), where N is a count variable and S=​X1+...+XN is the total claim amount. A generalization of the classical hierarchical model, where now we assume that the conditional distributions of SN and NS belong to some prescribed parametric families, is presented. A basic theorem of compatibility in conditional distributions of the type S given N and N given S is stated. Using a known theorem for exponential families and results from functional equations new models are obtained. We describe in detail the extension of two classical collective models, which now we call Poisson-Gamma and the Poisson-Binomial conditionals models. Other conditionals models are proposed, including the Poisson-Lognormal conditionals distribution, the Geometric-Gamma conditionals model and a model with inverse Gaussian conditionals. Further developments of collective risk modelling are given.
  • Classical collective model Hierarchical model Conditionally specified distributions Tweedie's distribution
  • RePEc:eee:insuma:v:43:y:2008:i:3:p:466-473
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment