Documents de treball producció científicaXarxa de Referència en Economia Aplicada (XREAP)

An Introduction to parametric and non-parametric models for bivariate positive insurance claim severity distributions

  • Identification data

    Identifier:  PC:2387
    Authors:  Guillén Estany, Montserrat; Pitt, David
    Abstract:
    We present a real data set of claims amounts where costs related to damage are recorded separately from those related to medical expenses. Only claims with positive costs are considered here. Two approaches to density estimation are presented: a classical parametric and a semi-parametric method, based on transformation kernel density estimation. We explore the data set with standard univariate methods. We also propose ways to select the bandwidth and transformation parameters in the univariate case based on Bayesian methods. We indicate how to compare the results of alternative methods both looking at the shape of the overall density domain and exploring the density estimates in the right tail.
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    Publisher: Xarxa de Referència en Economia Aplicada (XREAP)
    Date: 2010-03
    Identifier: http://hdl.handle.net/2072/46739
    Departament/Institute: Xarxa de Referència en Economia Aplicada (XREAP)
    Language: eng
    Author: Guillén Estany, Montserrat, Pitt, David
    Relation: XREAP;2010-3
    Format: application/pdf, 352073 bytes, 25 p.
  • Keywords:

    33 - Economia
    311 - Estadística
    Econometria
    Estadística bayesiana
    Teoria de l'estimació
    Estimació d'un paràmetre
    Assegurances
    Econometrics
    Bayesian statistical decision
    Estimation theory
    Parameter estimation
    Insurance
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