Multivariate INAR(1) Regression Models Based on the Sarmanov Distribution.

A multivariate INAR(1) regression model based on the Sarmanov distribution is proposed for modelling claim counts from an automobile insurance contract with different types of coverage. The correlation between claims from different coverage types is considered jointly with the serial correlation bet...

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Bibliographic Details
Authors: Bermúdez, Lluís; Karlis, Dimitris
Format: Article
Status:Published version
Publication date:2021
Country:España
Institution:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Repository:Recercat. Dipósit de la Recerca de Catalunya
OAI Identifier:oai:recercat.cat:2445/180409
Online Access:https://hdl.handle.net/2445/180409
Access Level:Open access
Keyword:Anàlisi multivariable
Anàlisi de regressió
Teoria de l'estimació
Assegurances d'automòbils
Multivariate analysis
Regression analysis
Estimation theory
Automobile insurance
Description
Summary:A multivariate INAR(1) regression model based on the Sarmanov distribution is proposed for modelling claim counts from an automobile insurance contract with different types of coverage. The correlation between claims from different coverage types is considered jointly with the serial correlation between the observations of the same policyholder observed over time. Several models based on the multivariate Sarmanov distribution are analyzed. The new models offer some advantages since they have all the advantages of the MINAR(1) regression model but allow for a more flexible dependence structure by using the Sarmanov distribution. Driven by a real panel data set, these models are considered and fitted to the data to discuss their goodness of fit and computational efficiency.