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...
| Authors: | ; |
|---|---|
| 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 |
| _version_ | 1878736904091860992 |
|---|---|
| author | Bermúdez, Lluís |
| author2 | Karlis, Dimitris |
| author2_role | author |
| author_browse | Bermúdez, Lluís Karlis, Dimitris |
| author_facet | Bermúdez, Lluís Karlis, Dimitris |
| author_role | author |
| collection | Recercat. Dipósit de la Recerca de Catalunya |
| description | 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. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | ES_9752dc32ffa6c692c5ef985df2ec4b2e |
| institution | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| instname_str | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| network_acronym_str | ES |
| network_name_str | España |
| oai_identifier_str | oai:recercat.cat:2445/180409 |
| publishDate | 2021 |
| publishDateSort | 2021 |
| publisher | MDPI |
| publisherStr | MDPI |
| reponame_str | Recercat. Dipósit de la Recerca de Catalunya |
| spelling | Multivariate INAR(1) Regression Models Based on the Sarmanov Distribution. Bermúdez, Lluís Karlis, Dimitris Anàlisi multivariable Anàlisi de regressió Teoria de l'estimació Assegurances d'automòbils Multivariate analysis Regression analysis Estimation theory Automobile insurance 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. MDPI https://hdl.handle.net/2445/180409 |
| spellingShingle | Multivariate INAR(1) Regression Models Based on the Sarmanov Distribution. Bermúdez, Lluís Anàlisi multivariable Anàlisi de regressió Teoria de l'estimació Assegurances d'automòbils Multivariate analysis Regression analysis Estimation theory Automobile insurance |
| status_str | publishedVersion |
| title | Multivariate INAR(1) Regression Models Based on the Sarmanov Distribution. |
| title_full | Multivariate INAR(1) Regression Models Based on the Sarmanov Distribution. |
| title_fullStr | Multivariate INAR(1) Regression Models Based on the Sarmanov Distribution. |
| title_full_unstemmed | Multivariate INAR(1) Regression Models Based on the Sarmanov Distribution. |
| title_short | Multivariate INAR(1) Regression Models Based on the Sarmanov Distribution. |
| title_sort | Multivariate INAR(1) Regression Models Based on the Sarmanov Distribution. |
| topic | Anàlisi multivariable Anàlisi de regressió Teoria de l'estimació Assegurances d'automòbils Multivariate analysis Regression analysis Estimation theory Automobile insurance |
| topic_facet | Anàlisi multivariable Anàlisi de regressió Teoria de l'estimació Assegurances d'automòbils Multivariate analysis Regression analysis Estimation theory Automobile insurance |
| url | https://hdl.handle.net/2445/180409 |