Thesis / Dissertation

Multivariate Count Regression Models with Applications in Insurance

Pengcheng Zhang, Xueyuan Wu (ed.)

Published : 2021

Abstract

This thesis proposes several multivariate count regression models in insurance. In today's life, given that insurance companies often write multiple lines of insurance business, where the claim counts on these lines of business are often correlated, there is a strong incentive to analyze multivariate claim count models. Motivated by real insurance datasets, we construct a number of multivariate count models to deal with various types of characteristics exhibited in the data. Some distributional properties concerning the models are examined. The inferential procedures are completed either via the expectation–maximization (EM) algorithm or the Markov chain Monte Carlo (MCMC) algorithm. First ..

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University of Melbourne Researchers