IDEAS home Printed from https://ideas.repec.org/a/taf/sactxx/v2016y2016i3p198-215.html
   My bibliography  Save this article

Insurance ratemaking using a copula-based multivariate Tweedie model

Author

Listed:
  • Peng Shi

Abstract

The Tweedie distribution, featured with a mass probability at zero, is a convenient tool for insurance claims modeling and pure premium determination in general insurance. Motivated by the fact that an insurance policy typically provides multiple types of coverage, we propose a copula-based multivariate Tweedie regression for modeling the semi-continuous claims while accommodating the association among different types. The proposed approach also allows for dispersion modeling, resulting in a multivariate version of the double generalized linear model. We demonstrate the application in insurance ratemaking using a portfolio of policyholders of automobile insurance from the state of Massachusetts in the United States.

Suggested Citation

  • Peng Shi, 2016. "Insurance ratemaking using a copula-based multivariate Tweedie model," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2016(3), pages 198-215, March.
    • Handle: RePEc:taf:sactxx:v:2016:y:2016:i:3:p:198-215
    DOI: 10.1080/03461238.2014.921639
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03461238.2014.921639
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03461238.2014.921639?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zifeng Zhao & Peng Shi & Xiaoping Feng, 2021. "Knowledge Learning of Insurance Risks Using Dependence Models," INFORMS Journal on Computing, INFORMS, vol. 33(3), pages 1177-1196, July.
    2. Jeong, Himchan, 2024. "Tweedie multivariate semi-parametric credibility with the exchangeable correlation," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 13-21.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:sactxx:v:2016:y:2016:i:3:p:198-215. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/sact .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.