Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/25082
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- Title
- The Zero-adjusted Inverse Gaussian distribution as a model for insurance claims
- Related
- International Workshop on Statistical Modelling (21st : 2006) (3-7 July 2006 : Galway, Ireland)
- Related
- Hinde, John; Einbeck, Jochen; and Newell, John. Proceedings of the 21st international workshop on statistical modelling, p.226-233
- Related
- http://studweb.north.londonmet.ac.uk/~stasinom/papers/ZAIG.pdf
- Publisher
- Galway, Ireland : Statistical Modelling Society
- Date
- 2006
- Author/Creator
- Heller, Gillian
- Author/Creator
- Stasinopoulos, Dimitrios
- Author/Creator
- Rigby, Robert
- Description
- We introduce a method for modelling insurance claim sizes, including zero claims. A mixed discrete-continuous model, with a probability mass at zero and an Inverse Gaussian continuous component, is used. The Inverse Gaussian distribution accommodates the extreme right skewness of the claim distribution. The model explicitly speci¯es a logit-linear model for the occurrence of a claim; and log-linear models for the mean claim size (given a claim has occurred); and the dispersion of claim sizes (given a claim has occurred). The method is illustrated on aa Australian motor vehicle insurance data set.
- Description
- 8 page(s)
- Subject Keyword
- Inverse Gaussian model
- Subject Keyword
- zero-adjusted
- Subject Keyword
- insurance claims
- Subject Keyword
- gamlss
- Resource Type
- conference paper
- Organisation
- Macquarie University. Dept. of Statistics
- Identifier
- http://hdl.handle.net/1959.14/25082
- Identifier
- ISBN:1862201803
- Identifier
- mq-rm-2006002017
- Language
- eng
- Reviewed
