IDEAS home Printed from https://ideas.repec.org/p/ira/wpaper/202009.html
   My bibliography  Save this paper

“The bivariate Sarmanov distribution for insurance claim frequencies and average severities”

Author

Listed:
  • Raluca Vernic

    (Faculty of Mathematics and Computer Science, Ovidius University of Constanta, and Institute for Mathematical Statistics and Applied Mathematics, Calea 13 Septembrie 13, 050711 Bucharest, Romania.)

  • Catalina Bolancé

    (Department of Econometrics, Riskcenter-IREA, University of Barcelona, Av. Diagonal, 690, 08034 Barcelona, Spain.)

  • Ramon Alemany

    (Department of Econometrics, Riskcenter-IREA, University of Barcelona, Av. Diagonal, 690, 08034 Barcelona, Spain.)

Abstract

Real data studies emphasized situations where the classical independence assumption between the frequency and the severity of claims does not hold in the collective model. Therefore, there is an increasing interest in defining models that capture this dependence. In this paper, we introduce such a model based on Sarmanov’s bivariate distribution, which has the ability of joining different types of marginals in flexible dependence structures. More precisely, we join the claims frequency and the average severity by means of this distribution. We also suggest a maximum likelihood estimation procedure to estimate the parameters and illustrate it both on simulated and real data.

Suggested Citation

  • Raluca Vernic & Catalina Bolancé & Ramon Alemany, 2020. "“The bivariate Sarmanov distribution for insurance claim frequencies and average severities”," IREA Working Papers 202009, University of Barcelona, Research Institute of Applied Economics, revised Jul 2020.
    • Handle: RePEc:ira:wpaper:202009
    as

    Download full text from publisher

    File URL: http://www.ub.edu/irea/working_papers/2020/202009.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Dependence; Sarmanov distribution; Frequency; Severity; Parameters estimation. JEL classification: G22; G52.;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

    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:ira:wpaper:202009. 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: Alicia García (email available below). General contact details of provider: https://edirc.repec.org/data/feubaes.html .

    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.