create a website

Multivariate negative binomial models for insurance claim counts. (2014). Shi, Peng ; Valdez, Emiliano A..
In: Insurance: Mathematics and Economics.
RePEc:eee:insuma:v:55:y:2014:i:c:p:18-29.

Full description at Econpapers || Download paper

Cited: 26

Citations received by this document

Cites: 38

References cited by this document

Cocites: 26

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Simpson’s Paradox for Kendall’s Rank Coefficient. (2025). Zuyderhoff, Pierre ; Denuit, Michel ; Trufin, Julien.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10161-x.

    Full description at Econpapers || Download paper

  2. EM estimation for bivariate mixed poisson INAR(1) claim count regression models with correlated random effects. (2024). Chen, Zezhun Chen ; Tzougas, George ; Dassios, Angelos.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:118826.

    Full description at Econpapers || Download paper

  3. Hierarchical generalized linear models, correlation and a posteriori ratemaking. (2023). Diagne, M L ; Gning, Lucien ; Tchuenche, J M.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:614:y:2023:i:c:s0378437123000894.

    Full description at Econpapers || Download paper

  4. Copula-based bivariate finite mixture regression models with an application for insurance claim count data. (2022). Bermudez, Lluis ; Karlis, Dimitris.
    In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
    RePEc:spr:testjl:v:31:y:2022:i:4:d:10.1007_s11749-022-00814-1.

    Full description at Econpapers || Download paper

  5. The multivariate Poisson-Generalized Inverse Gaussian claim count regression model with varying dispersion and shape parameters. (2022). Tzougas, George ; Makariou, Despoina.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:117197.

    Full description at Econpapers || Download paper

  6. Frequency-severity experience rating based on latent Markovian risk profiles. (2022). Verschuren, Robert Matthijs.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:107:y:2022:i:c:p:379-392.

    Full description at Econpapers || Download paper

  7. The multivariate Poisson‐Generalized Inverse Gaussian claim count regression model with varying dispersion and shape parameters. (2022). Tzougas, George ; Makariou, Despoina.
    In: Risk Management and Insurance Review.
    RePEc:bla:rmgtin:v:25:y:2022:i:4:p:401-417.

    Full description at Econpapers || Download paper

  8. Bivariate mixed Poisson regression models with varying dispersion. (2021). Tzougas, George ; di Cerchiara, Alice Pignatelli.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:114327.

    Full description at Econpapers || Download paper

  9. The multivariate mixed Negative Binomial regression model with an application to insurance a posteriori ratemaking. (2021). Tzougas, George ; di Cerchiara, Alice Pignatelli.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:101:y:2021:i:pb:p:602-625.

    Full description at Econpapers || Download paper

  10. Wishart‐gamma random effects models with applications to nonlife insurance. (2021). Lu, Yang ; Denuit, Michel.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:88:y:2021:i:2:p:443-481.

    Full description at Econpapers || Download paper

  11. An Economic Analysis of Tropical Forest Resource Conservation in a Protected Area. (2020). Assogba, Noel Perceval ; Zhang, Daowei.
    In: Sustainability.
    RePEc:gam:jsusta:v:12:y:2020:i:14:p:5850-:d:387322.

    Full description at Econpapers || Download paper

  12. Predictive compound risk models with dependence. (2020). Jeong, Himchan ; Valdez, Emiliano A.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:94:y:2020:i:c:p:182-195.

    Full description at Econpapers || Download paper

  13. Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving. (2020). Lu, Yang ; Denuit, Michel.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2020016.

    Full description at Econpapers || Download paper

  14. A class of mixture of experts models for general insurance: Theoretical developments. (2019). Fung, Tsz Chai ; Lin, Sheldon X ; Badescu, Andrei L.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:89:y:2019:i:c:p:111-127.

    Full description at Econpapers || Download paper

  15. Multivariate count data generalized linear models: Three approaches based on the Sarmanov distribution. (2019). Vernic, Raluca ; Bolance, Catalina.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:85:y:2019:i:c:p:89-103.

    Full description at Econpapers || Download paper

  16. Home and Motor insurance joined at a household level using multivariate credibility. (2019). Denuit, Michel ; Trufin, Julien ; Pechon, Florian.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2019013.

    Full description at Econpapers || Download paper

  17. Estimating Major Risk Factor Relativities in Rate Filings Using Generalized Linear Models. (2018). Xie, Shengkun ; Lawniczak, Anna T.
    In: IJFS.
    RePEc:gam:jijfss:v:6:y:2018:i:4:p:84-:d:174838.

    Full description at Econpapers || Download paper

  18. A multivariate heterogeneous-dispersion count model for asymmetric interdependent freeway crash types. (2018). Shankar, Venkataraman N ; Yamamoto, Toshiyuki.
    In: Transportation Research Part B: Methodological.
    RePEc:eee:transb:v:108:y:2018:i:c:p:84-105.

    Full description at Econpapers || Download paper

  19. Allowing for time and cross dependence assumptions between claim counts in ratemaking models. (2018). Guillen, Montserrat ; Bermudez, Lluis ; Karlis, Dimitris.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:83:y:2018:i:c:p:161-169.

    Full description at Econpapers || Download paper

  20. Multivariate Modelling of Multiple Guarantees in Motor Insurance of a Household. (2018). Denuit, Michel ; Trufin, Julien ; Pechon, Florian.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2018019.

    Full description at Econpapers || Download paper

  21. CMPH: a multivariate phase-type aggregate loss distribution. (2017). Ricardas, Zitikis ; Jiandong, Ren.
    In: Dependence Modeling.
    RePEc:vrs:demode:v:5:y:2017:i:1:p:304-315:n:18.

    Full description at Econpapers || Download paper

  22. Modelling the Covariance Structure in Marginal Multivariate Count Models: Hunting in Bioko Island. (2017). Bonat, W H ; Grande-Vega, M ; Farfan, M A ; Olivero, J.
    In: Journal of Agricultural, Biological and Environmental Statistics.
    RePEc:spr:jagbes:v:22:y:2017:i:4:d:10.1007_s13253-017-0284-7.

    Full description at Econpapers || Download paper

  23. “Multivariate count data generalized linear models: Three approaches based on the Sarmanov distribution”. (2017). Vernic, Raluca ; Bolance, Catalina.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201718.

    Full description at Econpapers || Download paper

  24. Do regional factors matter? Determinants of hotel industry performance in China. (2016). Yang, Zhenshan ; Cai, Jianming.
    In: Tourism Management.
    RePEc:eee:touman:v:52:y:2016:i:c:p:242-253.

    Full description at Econpapers || Download paper

  25. Multivariate covariance generalized linear models. (2016). Bonat, Wagner Hugo ; Jorgensen, Bent .
    In: Journal of the Royal Statistical Society Series C.
    RePEc:bla:jorssc:v:65:y:2016:i:5:p:649-675.

    Full description at Econpapers || Download paper

  26. Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2013 Update. (2015). Eling, Martin ; Biener, Christian ; Pradhan, Shailee.
    In: Risk Management and Insurance Review.
    RePEc:bla:rmgtin:v:18:y:2015:i:1:p:129-141.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aitchison, J. ; Ho, C. The multivariate Poisson-log normal distribution. 1989 Biometrika. 76 643-653
    Paper not yet in RePEc: Add citation now
  2. Bermúdez, L. ; Karlis, D. Bayesian multivariate Poisson models for insurance ratemaking. 2011 Insurance Math. Econom.. 48 226-236

  3. Boucher, J. ; Denuit, M. ; Guillén, M. Models of insurance claim counts with time dependence based on generalisation of Poisson and negative binomial distributions. 2008 Variance. 2 135-162
    Paper not yet in RePEc: Add citation now
  4. Cameron, A.C. ; Trivedi, P.K. Regression Analysis of Count Data. 1998 Cambridge University Press: Cambridge
    Paper not yet in RePEc: Add citation now
  5. Denuit, M. ; Lambert, P. Constraints on concordance measures in bivariate discrete data. 2005 J. Multivariate Anal.. 93 40-57

  6. Dey, D. ; Chung, Y. Compound Poisson distributions: properties and estimation. 1992 Comm. Statist. Theory Methods. 21 3097-3121
    Paper not yet in RePEc: Add citation now
  7. Fang, K. ; Kotz, S. ; Ng, K. Symmetric Multivariate and Related Distributions. 1990 Chapman & Hall: London
    Paper not yet in RePEc: Add citation now
  8. Frees, E.W. ; Shi, P. ; Valdez, E.A. Actuarial applications of a hierarchical insurance claims model. 2009 ASTIN Bull.. 39 165-197

  9. Frees, E.W. ; Valdez, E.A. Hierarchical insurance claims modeling. 2008 J. Amer. Statist. Assoc.. 103 1457-1469

  10. Genest, C. ; Nešlehová, J. A primer on copulas for count data. 2007 ASTIN Bull.. 37 475-515

  11. Gourieroux, C. ; Monfort, A. ; Trognon, A. Pseudo maximum likelihood methods: theory. 1984 Econometrica. 52 681-700

  12. Hausman, J. ; Hall, B. ; Griliches, Z. Econometric models for count data with an application to the patents-r&d relationship. 1984 Econometrica. 52 909-938

  13. Joe, H. Multivariate Models and Dependence Concepts. 1997 Chapman & Hall: New York
    Paper not yet in RePEc: Add citation now
  14. Joe, H. Parametric families of multivariate distributions with given margins. 1993 J. Multivariate Anal.. 46 262-282

  15. Joe, H. ; Hu, T. Multivariate distributions from mixtures of max-infinitely divisible distributions. 1996 J. Multivariate Anal.. 57 240-265

  16. Johnson, N. ; Kotz, S. ; Balakrishnan, N. Discrete Multivariate Distributions. 1997 Wiley & Sons: New York
    Paper not yet in RePEc: Add citation now
  17. Jorgenson, D. Multiple regression analysis of a Poisson process. 1961 J. Amer. Statist. Assoc.. 56 235-245
    Paper not yet in RePEc: Add citation now
  18. Karlis, D. ; Meligkotsidou, L. Multivariate Poisson regression with covariance structure. 2005 Stat. Comput.. 15 255-265
    Paper not yet in RePEc: Add citation now
  19. Kocherlakota, S. ; Kocherlakota, K. Bivariate Discrete Distributions. 1992 Marcel Dekker: New York
    Paper not yet in RePEc: Add citation now
  20. Machado, J. ; Silva, J. Quantiles for counts. 2005 J. Amer. Statist. Assoc.. 100 1226-1237

  21. Madsen, L. ; Fang, Y. Joint regression analysis for discrete longitudinal data. 2011 Biometrics. 67 1171-1175

  22. Nelder, J. ; Wedderburn, R. Generalized linear models. 1972 J. R. Stat. Soc. Ser. A. 135 370-384
    Paper not yet in RePEc: Add citation now
  23. Nelsen, R. An Introduction to Copulas. 2006 Springer: New York
    Paper not yet in RePEc: Add citation now
  24. Nikoloulopoulos, A. ; Karlis, D. Modeling multivariate count data using copulas. 2009 Comm. Statist. Simulation Comput.. 39 172-187
    Paper not yet in RePEc: Add citation now
  25. Nikoloulopoulos, A. ; Karlis, D. Multivariate logit copula model with an application to dental data. 2008 Stat. Med.. 27 6393-6406
    Paper not yet in RePEc: Add citation now
  26. Shi, P. Multivariate longitudinal modeling of insurance company expenses. 2012 Insurance Math. Econom.. 51 204-215

  27. Shi, P. ; Frees, E. Dependent loss reserving using copulas. 2011 ASTIN Bull.. 41 449-486

  28. Shi, P. ; Frees, E. Long-tail longitudinal modeling of insurance company expenses. 2010 Insurance Math. Econom.. 47 303-314

  29. Shi, P. ; Valdez, E.A. A copula approach to test asymmetric information with applications to predictive modeling. 2011 Insurance Math. Econom.. 49 226-239

  30. Shi, P. ; Valdez, E.A. Longitudinal modeling of insurance claim counts using jitters. 2012 Scand. Actuar. J.. -
    Paper not yet in RePEc: Add citation now
  31. Shi, P. ; Zhang, W. ; Valdez, E. Testing adverse selection with two-dimensional information: evidence from the Singapore auto insurance market. 2012 J. Risk Insurance. 79 1077-1114

  32. Tsionas, E. Bayesian multivariate Poisson regression. 2001 Comm. Statist. Theory Methods. 30 243-255
    Paper not yet in RePEc: Add citation now
  33. van Ophem, H. A general method to estimate correlated discrete random variables. 1999 Econometric Theory. 15 228-237

  34. Vuong, Q. Likelihood ratio tests for model selection and non-nested hypotheses. 1989 Econometrica. 57 307-333

  35. Winkelmann, R. Econometric Analysis of Count Data. 2008 Springer: Berlin

  36. Winkelmann, R. Seemingly unrelated negative binomial regression. 2000 Oxford Bull. Econ. Stat.. 62 553-560

  37. Zhao, X. ; Zhou, X. Applying copula models to individual claim loss reserving methods. 2010 Insurance Math. Econom.. 46 290-299

  38. Zimmer, D. ; Trivedi, P. Using trivariate copulas to model sample selection and treatment effects: application to family health care demand. 2006 J. Bus. Econom. Statist.. 24 63-76

Cocites

Documents in RePEc which have cited the same bibliography

  1. Simpson’s Paradox for Kendall’s Rank Coefficient. (2025). Zuyderhoff, Pierre ; Denuit, Michel ; Trufin, Julien.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10161-x.

    Full description at Econpapers || Download paper

  2. EM estimation for bivariate mixed poisson INAR(1) claim count regression models with correlated random effects. (2024). Chen, Zezhun Chen ; Tzougas, George ; Dassios, Angelos.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:118826.

    Full description at Econpapers || Download paper

  3. Sensitivity Analysis of Ruin of an Insurance Company in Ghana. (2024). Pabifio, Daniel Tawiah.
    In: Papers.
    RePEc:arx:papers:2410.11846.

    Full description at Econpapers || Download paper

  4. Multivariate mixed Poisson Generalized Inverse Gaussian INAR(1) regression. (2023). Chen, Zezhun ; Tzougas, George ; Dassios, Angelos.
    In: Computational Statistics.
    RePEc:spr:compst:v:38:y:2023:i:2:d:10.1007_s00180-022-01253-0.

    Full description at Econpapers || Download paper

  5. Multivariate Poisson model adjusting for unidirectional covariate misrepresentation. (2023). Wu, Xueyuan ; Zhang, Pengcheng.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:197:y:2023:i:c:s0167715223000615.

    Full description at Econpapers || Download paper

  6. The multivariate Poisson-Generalized Inverse Gaussian claim count regression model with varying dispersion and shape parameters. (2022). Tzougas, George ; Makariou, Despoina.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:117197.

    Full description at Econpapers || Download paper

  7. Frequency-severity experience rating based on latent Markovian risk profiles. (2022). Verschuren, Robert Matthijs.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:107:y:2022:i:c:p:379-392.

    Full description at Econpapers || Download paper

  8. The multivariate Poisson‐Generalized Inverse Gaussian claim count regression model with varying dispersion and shape parameters. (2022). Tzougas, George ; Makariou, Despoina.
    In: Risk Management and Insurance Review.
    RePEc:bla:rmgtin:v:25:y:2022:i:4:p:401-417.

    Full description at Econpapers || Download paper

  9. Multivariate INAR(1) Regression Models Based on the Sarmanov Distribution. (2021). Bermudez, Lluis ; Karlis, Dimitris.
    In: Mathematics.
    RePEc:gam:jmathe:v:9:y:2021:i:5:p:505-:d:508246.

    Full description at Econpapers || Download paper

  10. The multivariate mixed Negative Binomial regression model with an application to insurance a posteriori ratemaking. (2021). Tzougas, George ; di Cerchiara, Alice Pignatelli.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:101:y:2021:i:pb:p:602-625.

    Full description at Econpapers || Download paper

  11. Bivariate Mixed Poisson and Normal Generalised Linear Models with Sarmanov Dependence—An Application to Model Claim Frequency and Optimal Transformed Average Severity. (2020). Rodrigo, Roberto ; Alemany, Ramon ; Vernic, Raluca ; Bolance, Catalina.
    In: Mathematics.
    RePEc:gam:jmathe:v:9:y:2020:i:1:p:73-:d:472799.

    Full description at Econpapers || Download paper

  12. Joint modelling of two count variables when one of them can be degenerate. (2019). Osiewalski, Jacek ; Marzec, Jerzy.
    In: Computational Statistics.
    RePEc:spr:compst:v:34:y:2019:i:1:d:10.1007_s00180-018-0828-5.

    Full description at Econpapers || Download paper

  13. The impact of the bonus-malus system on the insurance ratemaking in the system of compulsory insurance of the responsibility of transport owners in Russia. (2019). Baskakov, Valery ; Sheparnev, Nikolay ; Yanenko, Evgeny ; Yazykov, Andrey ; Tsyganov, Aleksander ; Grysenkova, Yulia.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0384.

    Full description at Econpapers || Download paper

  14. The negative binomial-inverse Gaussian regression model with an application to insurance ratemaking. (2019). Hoon, W L ; Lim, J M ; Tzougas, G.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:101728.

    Full description at Econpapers || Download paper

  15. A class of mixture of experts models for general insurance: Theoretical developments. (2019). Fung, Tsz Chai ; Lin, Sheldon X ; Badescu, Andrei L.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:89:y:2019:i:c:p:111-127.

    Full description at Econpapers || Download paper

  16. Multivariate count data generalized linear models: Three approaches based on the Sarmanov distribution. (2019). Vernic, Raluca ; Bolance, Catalina.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:85:y:2019:i:c:p:89-103.

    Full description at Econpapers || Download paper

  17. Home and Motor insurance joined at a household level using multivariate credibility. (2019). Denuit, Michel ; Trufin, Julien ; Pechon, Florian.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2019013.

    Full description at Econpapers || Download paper

  18. Allowing for time and cross dependence assumptions between claim counts in ratemaking models. (2018). Guillen, Montserrat ; Bermudez, Lluis ; Karlis, Dimitris.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:83:y:2018:i:c:p:161-169.

    Full description at Econpapers || Download paper

  19. A k-Inflated Negative Binomial Mixture Regression Model: Application to Rate–Making Systems. (2018). Payandeh, Amir ; Amir, Payandeh Najafabadi ; Saeed, Mohammadpour.
    In: Asia-Pacific Journal of Risk and Insurance.
    RePEc:bpj:apjrin:v:12:y:2018:i:2:p:31:n:2.

    Full description at Econpapers || Download paper

  20. Multivariate Modelling of Multiple Guarantees in Motor Insurance of a Household. (2018). Denuit, Michel ; Trufin, Julien ; Pechon, Florian.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2018019.

    Full description at Econpapers || Download paper

  21. “Multivariate count data generalized linear models: Three approaches based on the Sarmanov distribution”. (2017). Vernic, Raluca ; Bolance, Catalina.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201718.

    Full description at Econpapers || Download paper

  22. Bayesian quantile regression model for claim count data. (2016). Ismail, Noriszura ; Mohd, Mohd Fadzli ; Jemain, Abdul Aziz .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:66:y:2016:i:c:p:124-137.

    Full description at Econpapers || Download paper

  23. Multivariate negative binomial models for insurance claim counts. (2014). Shi, Peng ; Valdez, Emiliano A..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:55:y:2014:i:c:p:18-29.

    Full description at Econpapers || Download paper

  24. Accounting for severity of risk when pricing insurance products. (2014). Guillen, Montserrat ; Alemany, Ramon ; Bolance, Catalina.
    In: Working Papers.
    RePEc:bak:wpaper:201405.

    Full description at Econpapers || Download paper

  25. Copula models for insurance claim numbers with excess zeros and time-dependence. (2012). Zhao, Xiaobing ; Zhou, Xian.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:50:y:2012:i:1:p:191-199.

    Full description at Econpapers || Download paper

  26. A finite mixture of bivariate Poisson regression models with an application to insurance ratemaking. (2012). Bermudez, Lluis ; Karlis, Dimitris.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:12:p:3988-3999.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-20 20:22:37 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.