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Nonlife Ratemaking and Risk Management with Bayesian Additive Models for Location, Scale and Shape

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  • Klein, Nadja
  • Denuit, Michel
  • Lang, Stefan
  • Kneib, Thomas

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  • Klein, Nadja & Denuit, Michel & Lang, Stefan & Kneib, Thomas, 2013. "Nonlife Ratemaking and Risk Management with Bayesian Additive Models for Location, Scale and Shape," LIDAM Discussion Papers ISBA 2013045, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2013045
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    1. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521785167, September.
    2. Nadja Klein & Thomas Kneib & Stephan Klasen & Stefan Lang, 2015. "Bayesian structured additive distributional regression for multivariate responses," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 64(4), pages 569-591, August.
    3. Ana Cebrián & Michel Denuit & Philippe Lambert, 2003. "Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database," North American Actuarial Journal, Taylor & Francis Journals, vol. 7(3), pages 18-36.
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    5. Gneiting, Tilmann & Ranjan, Roopesh, 2011. "Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(3), pages 411-422.
    6. Denuit, Michel & Lang, Stefan, 2004. "Non-life rate-making with Bayesian GAMs," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 627-647, December.
    7. Rob Kaas & Marc Goovaerts & Jan Dhaene & Michel Denuit, 2008. "Modern Actuarial Risk Theory," Springer Books, Springer, edition 2, number 978-3-540-70998-5, January.
    8. Simon N. Wood, 2004. "Stable and Efficient Multiple Smoothing Parameter Estimation for Generalized Additive Models," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 673-686, January.
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    11. Yip, Karen C.H. & Yau, Kelvin K.W., 2005. "On modeling claim frequency data in general insurance with extra zeros," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 153-163, April.
    12. Pigeon, Mathieu & Denuit, Michel, 2011. "Composite Lognormal-Pareto model with random threshold," LIDAM Reprints ISBA 2011020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    13. Tilmann Gneiting & Roopesh Ranjan, 2011. "Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 411-422, July.
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    16. Nadja Klein & Thomas Kneib & Stefan Lang, 2013. "Bayesian generalized additive models for location, scale and shape for zero-inflated and overdispersed count data," Working Papers 2013-12, Faculty of Economics and Statistics, Universität Innsbruck.
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    22. Gneiting, Tilmann & Raftery, Adrian E., 2007. "Strictly Proper Scoring Rules, Prediction, and Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 359-378, March.
    23. Nadja Klein & Thomas Kneib & Stefan Lang, 2013. "Bayesian Structured Additive Distributional Regression," Working Papers 2013-23, Faculty of Economics and Statistics, Universität Innsbruck.
    24. Smyth, Gordon K. & Jørgensen, Bent, 2002. "Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling," ASTIN Bulletin, Cambridge University Press, vol. 32(1), pages 143-157, May.
    25. M. P. Wand, 2003. "Smoothing and mixed models," Computational Statistics, Springer, vol. 18(2), pages 223-249, July.
    26. Ludwig Fahrmeir & Stefan Lang, 2001. "Bayesian Semiparametric Regression Analysis of Multicategorical Time-Space Data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(1), pages 11-30, March.
    27. Inyoung Kim & Noah D. Cohen & Raymond J. Carroll, 2003. "Semiparametric Regression Splines in Matched Case-Control Studies," Biometrics, The International Biometric Society, vol. 59(4), pages 1158-1169, December.
    28. S. N. Wood, 2000. "Modelling and smoothing parameter estimation with multiple quadratic penalties," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 413-428.
    29. X. Lin & D. Zhang, 1999. "Inference in generalized additive mixed modelsby using smoothing splines," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(2), pages 381-400, April.
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    31. Gschlossl, Susanne & Schoenmaekers, Pascal & Denuit, Michel, 2011. "Risk classification in life insurance: Methodology and case study," LIDAM Reprints ISBA 2011021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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