Journal article

On the Type I multivariate zero-truncated hurdle model with applications in health insurance

P Zhang, E Calderin, S Li, X Wu

Insurance: Mathematics and Economics | Elsevier | Published : 2020


In the general insurance modeling literature, there has been a lot of work based on univariate zero-truncated models, but little has been done in the multivariate zero-truncation cases, for instance a line of insurance business with various classes of policies. There are three types of zero-truncation in the multivariate setting: only records with all zeros are missing, zero counts for one or some classes are missing, or zeros are completely missing for all classes. In this paper, we focus on the first case, the so-called Type I zero-truncation, and a new multivariate zero-truncated hurdle model is developed to study it. The key idea of developing such a model is to identify a stochastic rep..

View full abstract


Funding Acknowledgements

The authors are grateful to the anonymous reviewer's valuable comments and suggestions on the first draft of this paper which helped them to produce a significantly improved final version. Mr. Pengcheng Zhang is supported by an Australian Government Research Training Program (RTP) Scholarship.