Robust claim frequency modeling through phase-type mixture-of-experts regression
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Robust claim frequency modeling through phase-type mixture-of-experts regression. / Bladt, Martin; Yslas, Jorge.
In: Insurance: Mathematics and Economics, Vol. 111, 2023, p. 1-22.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Robust claim frequency modeling through phase-type mixture-of-experts regression
AU - Bladt, Martin
AU - Yslas, Jorge
N1 - Publisher Copyright: © 2023 The Author(s)
PY - 2023
Y1 - 2023
N2 - This paper addresses the problem of modeling loss frequency using regression when the counts have a non-standard distribution. We propose a novel approach based on mixture-of-experts specifications on discrete-phase type distributions. Compared to continuous phase-type counterparts, our approach offers fast estimation via expectation-maximization, making it more feasible for use in real-life scenarios. Our model is both robust and interpretable in terms of risk classes, and can be naturally extended to the multivariate case through two different constructions. This avoids the need for ad-hoc multivariate claim count modeling. Overall, our approach provides a more effective solution for modeling loss frequency in non-standard situations.
AB - This paper addresses the problem of modeling loss frequency using regression when the counts have a non-standard distribution. We propose a novel approach based on mixture-of-experts specifications on discrete-phase type distributions. Compared to continuous phase-type counterparts, our approach offers fast estimation via expectation-maximization, making it more feasible for use in real-life scenarios. Our model is both robust and interpretable in terms of risk classes, and can be naturally extended to the multivariate case through two different constructions. This avoids the need for ad-hoc multivariate claim count modeling. Overall, our approach provides a more effective solution for modeling loss frequency in non-standard situations.
KW - Claim count distributions
KW - Discrete phase-type distributions
KW - Regression modeling
UR - http://www.scopus.com/inward/record.url?scp=85149902744&partnerID=8YFLogxK
U2 - 10.1016/j.insmatheco.2023.02.008
DO - 10.1016/j.insmatheco.2023.02.008
M3 - Journal article
AN - SCOPUS:85149902744
VL - 111
SP - 1
EP - 22
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
SN - 0167-6687
ER -
ID: 359611679