{"title":"mvClaim: an R package for multivariate general insurance claims severity modelling","authors":"Sen Hu, T. B. Murphy, A. O'Hagan","doi":"10.1017/S1748499521000099","DOIUrl":null,"url":null,"abstract":"Abstract The mvClaim package in R provides flexible modelling frameworks for multivariate insurance claim severity modelling. The current version of the package implements a parsimonious mixture of experts (MoE) model family with bivariate gamma distributions, as introduced in Hu et al., and a finite mixture of copula regressions within the MoE framework as in Hu & O’Hagan. This paper presents the modelling approach theory briefly and the usage of the models in the package in detail. This package is hosted on GitHub at https://github.com/senhu/.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"15 1","pages":"441 - 457"},"PeriodicalIF":1.5000,"publicationDate":"2021-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1017/S1748499521000099","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of Actuarial Science","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1017/S1748499521000099","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 4
Abstract
Abstract The mvClaim package in R provides flexible modelling frameworks for multivariate insurance claim severity modelling. The current version of the package implements a parsimonious mixture of experts (MoE) model family with bivariate gamma distributions, as introduced in Hu et al., and a finite mixture of copula regressions within the MoE framework as in Hu & O’Hagan. This paper presents the modelling approach theory briefly and the usage of the models in the package in detail. This package is hosted on GitHub at https://github.com/senhu/.
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