mvClaim: an R package for multivariate general insurance claims severity modelling

IF 1.5 Q3 BUSINESS, FINANCE Annals of Actuarial Science Pub Date : 2021-04-05 DOI:10.1017/S1748499521000099
Sen Hu, T. B. Murphy, A. O'Hagan
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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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mvClaim:一个用于多变量一般保险索赔严重程度建模的R包
摘要R中的mvClaim包为多变量保险索赔严重性建模提供了灵活的建模框架。当前版本的软件包实现了具有双变量伽马分布的专家简约混合(MoE)模型族,如Hu等人所述,以及在MoE框架内的copula回归的有限混合,如Hu&O’Hagan所述。本文简要介绍了建模方法理论,并详细介绍了模型在软件包中的使用。此包托管在GitHub上,位于https://github.com/senhu/.
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
3.10
自引率
5.90%
发文量
22
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