Multivariate zero-inflated INAR(1) model with an application in automobile insurance

Zhang, Pengcheng, Chen, Zezhun, Tzougas, George, Calderín–Ojeda, Enrique, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Wu, Xueyuan (2024) Multivariate zero-inflated INAR(1) model with an application in automobile insurance. North American Actuarial Journal. ISSN 1092-0277

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Abstract

The objective of this article is to propose a comprehensive solution for analyzing multidimensional non-life claim count data that exhibits time and cross-dependence, as well as zero inflation. To achieve this, we introduce a multivariate INAR(1) model, with the innovation term characterized by either a multivariate zero-inflated Poisson distribution or a multivariate zero-inflated hurdle Poisson distribution. Additionally, our modeling framework accounts for the impact of individual and coverage-specific covariates on the mean parameters of each model, thereby facilitating the computation of customized insurance premiums based on varying risk profiles. To estimate the model parameters, we employ a novel expectation-maximization (EM) algorithm. Our model demonstrates satisfactory performance in the analysis of European motor third-party liability claim count data.

Item Type:	Article
Official URL:	https://www.tandfonline.com/journals/uaaj20
Additional Information:	© 2024 The Author(s)
Divisions:	Statistics
Subjects:	H Social Sciences > HA Statistics
Date Deposited:	22 Jul 2024 16:21
Last Modified:	12 Nov 2024 21:27
URI:	http://eprints.lse.ac.uk/id/eprint/124317

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