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Fitting bivariate losses with phase-type distributions

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  • Amin Zadeh
  • Martin Bilodeau

Abstract

Maximum likelihood estimation and (parametric bootstrap) goodness-of-fit test are considered for bivariate phase-type distributions introduced by Assaf and Colleagues. In a special case, the dependence structure of bivariate phase-type distributions is revealed. The results are used to fit a real bi-dimensional data set related to insurance losses (LOSS) and allocated loss adjustment expenses (ALAE). The fitted bivariate phase-type is used to obtain conditional quantiles and mean of ALAE for a given value of LOSS. The bivariate phase-type distribution meets all the requirements listed in the study by Klugman and Parsa.

Suggested Citation

  • Amin Zadeh & Martin Bilodeau, 2013. "Fitting bivariate losses with phase-type distributions," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2013(4), pages 241-262.
    • Handle: RePEc:taf:sactxx:v:2013:y:2013:i:4:p:241-262
    DOI: 10.1080/03461238.2011.602196
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    Cited by:

    1. Övgücan Karadağ Erdemir, 2023. "A Comparative Perspective on Multivariate Modeling of Insurance Compensation Payments with Regression-Based and Copula-Based Models," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(39), pages 161-171, December.

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