Multivariate claim count regression model with varying dispersion and dependence parameters
Himchan Jeong, George Tzougas, Tsz Chai Fung
2023Journal of the Royal Statistical Society Series A (Statistics in Society)13 citationsDOIOpen Access PDF
Abstract
Abstract The aim of this paper is to present a regression model for multivariate claim frequency data with dependence structures across the claim count responses, which may be of different sign and range, and overdispersion from the unobserved heterogeneity due to systematic effects in the data. For illustrative purposes, we consider the bivariate Poisson-lognormal regression model with varying dispersion. Maximum likelihood estimation of the model parameters is achieved through a novel Monte Carlo expectation–maximization algorithm, which is shown to have a satisfactory performance when we exemplify our approach to Local Government Property Insurance Fund data from the state of Wisconsin.
Topics & Concepts
OverdispersionPoisson regressionMultivariate statisticsEconometricsStatisticsMathematicsDispersion (optics)Count dataBivariate analysisPoisson distributionRegressionPopulationOpticsSociologyPhysicsDemographyStatistical Methods and Bayesian InferenceProbability and Risk ModelsBayesian Methods and Mixture Models