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Risk classification for claim counts and losses using regression models for location, scale and shape

Tzougas, George, Vrontos, Spyridon D. and Frangos, Nickolaos E. (2015) Risk classification for claim counts and losses using regression models for location, scale and shape. Variance, 9 (1). pp. 140-157. ISSN 1940-6444

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Abstract

This paper presents and compares different risk classification models for the frequency and severity of claims employing regression models for location, scale and shape. The differences between these models are analyzed through the mean and the variance of the annual number of claims and the costs of claims of the insureds, who belong to different risk classes and interesting results about claiming behavior are obtained. Furthermore, the resulting a priori premiums rates are calculated via the expected value and standard deviation principles with independence between the claim frequency and severity components assumed.

Item Type: Article
Official URL: http://www.variancejournal.org/
Additional Information: © 2015 Casualty Actuarial Society
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Date Deposited: 27 Mar 2017 12:38
Last Modified: 30 Mar 2019 00:11
URI: http://eprints.lse.ac.uk/id/eprint/70921

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