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Multivariate Poisson model adjusting for unidirectional covariate misrepresentation

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  • Zhang, Pengcheng
  • Wu, Xueyuan

Abstract

This paper considers the misrepresentation problem in a multivariate Poisson model. As for inference, we develop an expectation–maximization (EM) algorithm. A simulation study is carried out to validate our algorithm. Finally, our model is applied to a real data set.

Suggested Citation

  • Zhang, Pengcheng & Wu, Xueyuan, 2023. "Multivariate Poisson model adjusting for unidirectional covariate misrepresentation," Statistics & Probability Letters, Elsevier, vol. 197(C).
    • Handle: RePEc:eee:stapro:v:197:y:2023:i:c:s0167715223000615
    DOI: 10.1016/j.spl.2023.109837
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    References listed on IDEAS

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    1. Akakpo, Rexford M. & Xia, Michelle & Polansky, Alan M., 2019. "Frequentist Inference In Insurance Ratemaking Models Adjusting For Misrepresentation," ASTIN Bulletin, Cambridge University Press, vol. 49(1), pages 117-146, January.
    2. Michelle Xia, 2018. "Bayesian Adjustment for Insurance Misrepresentation in Heavy-Tailed Loss Regression," Risks, MDPI, vol. 6(3), pages 1-16, August.
    3. Bermúdez, Lluís & Karlis, Dimitris, 2011. "Bayesian multivariate Poisson models for insurance ratemaking," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 226-236, March.
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