The multivariate mixed negative binomial regression model with an application to insurance a posteriori ratemaking

G Tzougas, AP di Cerchiara - Insurance: Mathematics and Economics, 2021 - Elsevier
This paper is concerned with introducing a family of multivariate mixed Negative Binomial
regression models in the context of a posteriori ratemaking. The multivariate mixed Negative …

EM estimation for the Poisson-inverse gamma regression model with varying dispersion: an application to insurance ratemaking

G Tzougas - Risks, 2020 - mdpi.com
This article presents the Poisson-Inverse Gamma regression model with varying dispersion
for approximating heavy-tailed and overdispersed claim counts. Our main contribution is that …

[PDF][PDF] A posteriori risk classification and ratemaking with random effects in the mixture-of-experts model

SC Tseung, IW Chan, TC Fung… - arXiv preprint arXiv …, 2022 - researchgate.net
ABSTRACT A well-designed framework for risk classification and ratemaking in automobile
insurance is key to insurers' profitability and risk management, while also ensuring that …

Insurance ratemaking using the exponential-lognormal regression model

G Tzougas, WH Yik, MW Mustaqeem - Annals of Actuarial Science, 2020 - cambridge.org
This paper is concerned with presenting the Exponential-Lognormal (ELN) regression
model as a competitive alternative to the Pareto, or Exponential-Inverse Gamma, regression …

Improving risk classification and ratemaking using mixture‐of‐experts models with random effects

SC Tseung, IW Chan, TC Fung… - Journal of Risk and …, 2023 - Wiley Online Library
In the underwriting and pricing of nonlife insurance products, it is essential for the insurer to
utilize both policyholder information and claim history to ensure profitability and proper risk …

Pricing financial and insurance products in the multivariate setting

A Pignatelli di Cerchiara - 2021 - etheses.lse.ac.uk
In finance and insurance there is often the need to construct multivariate distributions to take
into account more than one source of risk, where such risks cannot be assumed to be …

Text mining and ruin theory: A case study of research on risk models with dependence

RG Alcoforado, ADE Dos Reis - REVSTAT-Statistical Journal, 2020 - revstat.ine.pt
This paper aims to analyze unstructured data using a text mining approach. The work was
motivated in order to organize and structure research in Risk Theory. In our study, the …

[PDF][PDF] AUTOMOBILE BONUS-MALUS SYSTEM MODELLING USING MACHINE LEARNING ALGORITHMS.

K Yassine, EL Abderrahim… - ICTACT Journal on Soft …, 2023 - ictactjournals.in
Third-party liability is the most important sub-category in automobile insurance, that is why
actuaries seek always to design the ideal price list by classifying the insureds into …

Theoretical and Practical Advances in Actuarial Science: Risk, Ruin Theory and Life Pensions

RG Alcoforado - PQDT-Global, 2022 - search.proquest.com
Esta tese apresenta avanços teóricos e práticos na ciência atuarial. É composta por seis
capítulos que consistem em seis artigos sobre temas da ciência atuarial, ou seja, tópicos em …

[图书][B] Bonus-malus in insurance portfolios

W Ni - 2015 - search.proquest.com
This thesis constitutes a research work on Bonus-Malus (BM) systems in insurance
portfolios, featuring designing pricing strategies and examining associated solvency risks …