Sarmanov family of multivariate distributions for bivariate dynamic claim counts model

Sarmanov Family of Bivariate Distributions for Multivariate Loss Reserving Analysis

The correlation among multiple lines of business plays a critical role in aggregating claims and thus determining loss reserves for an insurance portfolio. We show that the Sarmanov family of bivariate distributions is a convenient choice to capture the dependencies introduced by various sources, including the common calendar year, accident year and development period effects. The density of th...

On Generalized Sarmanov Bivariate Distributions

A class of bivariate distributions which generalizes the Sarmanov class is introduced. This class possesses a simple analytical form and desirable dependence properties. The admissible range for association parameter for given bivariate distributions are derived and the range for correlation coefficients are also presented.

Modeling Multivariate Claim Counts Using Copulas

Multivariate negative binomial models for insurance claim counts

It is no longer uncommon these days to find the need in actuarial practice to model claim counts from multiple types of coverage, such as the ratemaking process for bundled insurance contracts. Since di↵erent types of claims are conceivably correlated with each other, the multivariate count regression models that emphasize the dependency among claim types are more helpful for inference and pred...

the application of multivariate probit models for conditional claim-types (the case study of iranian car insurance industry)

هدف اصلی نرخ گذاری بیمه ای تعیین نرخ عادلانه و منطقی از دیدگاه بیمه گر و بیمه گذار است. تعین نرخ یکی از مهم ترین مسایلی است که شرکتهای بیمه با آن روبرو هستند، زیرا تعیین نرخ اصلی ترین عامل در رقابت بین شرکتها است. برای تعیین حق بیمه ابتدا می باید مقدار مورد انتظار ادعای خسارت برای هر قرارداد بیمه را برآورد کرد. روش عمومی مدل سازی خسارتهای عملیاتی در نظر گرفتن تواتر و شدت خسارتها می باشد. اگر شر...