A Multivariate Claim Count Model for Applications in Insurance
This monograph presents a time-dynamic model for multivariate claim counts in actuarial applications. Inspired by real-world claim arrivals, the model balances interesting stylized facts (such as dependence across the components, over-dispersion and the c
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Daniela Anna Selch Matthias Scherer
A Multivariate Claim Count Model for Applications in Insurance
Springer Actuarial Editors-in-Chief Hansjoerg Albrecher, Université de Lausanne, Switzerland Michael Sherris, University of New South Wales, Australia Series editors Daniel Bauer, University of Alabama, USA Stéphane Loisel, ISFA, Université Lyon 1, France Alexander J. McNeil, University of York, UK Antoon Pelsser, Maastricht University, The Netherlands Ermanno Pitacco, Università degli Studi di Trieste, Italy Hailiang Yang, The University of Hong Kong, Hong Kong
This is a series on actuarial topics in a broad and interdisciplinary sense, aimed at students, academics and practitioners in the fields of insurance and finance. Springer Actuarial informs timely on theoretical and practical aspects of topics like risk management, internal models, solvency, asset-liability management, market-consistent valuation, the actuarial control cycle, insurance and financial mathematics, and other related interdisciplinary areas. The series aims to serve as a primary scientific reference for education, research, development and model validation. The type of material considered for publication includes lecture notes, monographs and textbooks. All submissions will be peer-reviewed.
More information about this series at http://www.springer.com/series/15681
Daniela Anna Selch Matthias Scherer •
A Multivariate Claim Count Model for Applications in Insurance
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Daniela Anna Selch Quantitative Analytics Barclays London, UK
Matthias Scherer Lehrstuhl für Finanzmathematik Technische Universität München Munich, Germany
ISSN 2523-3262 ISSN 2523-3270 (electronic) Springer Actuarial ISBN 978-3-319-92867-8 ISBN 978-3-319-92868-5 (eBook) https://doi.org/10.1007/978-3-319-92868-5 Library of Congress Control Number: 2018943711 Mathematics Subject Classification (2010): 62P05, 97M30, 91B30 © Springer Nature Switzerland AG 2018 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral w
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