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mvClaim: an R package for multivariate general insurance claims severity modelling

Published online by Cambridge University Press:  05 April 2021

Sen Hu ,
T. Brendan Murphy  and
Adrian O’Hagan
Sen Hu*
Affiliation:
School of Mathematics and Statistics, University College Dublin, Dublin 4, Ireland Insight Centre for Data Analytics, University College Dublin, Dublin 4, Ireland
T. Brendan Murphy
Affiliation:
School of Mathematics and Statistics, University College Dublin, Dublin 4, Ireland Insight Centre for Data Analytics, University College Dublin, Dublin 4, Ireland
Adrian O’Hagan
Affiliation:
School of Mathematics and Statistics, University College Dublin, Dublin 4, Ireland Insight Centre for Data Analytics, University College Dublin, Dublin 4, Ireland
*
*Corresponding author. E-mail: [email protected]
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Abstract

The mvClaim package in R provides flexible modelling frameworks for multivariate insurance claim severity modelling. The current version of the package implements a parsimonious mixture of experts (MoE) model family with bivariate gamma distributions, as introduced in Hu et al., and a finite mixture of copula regressions within the MoE framework as in Hu & O’Hagan. This paper presents the modelling approach theory briefly and the usage of the models in the package in detail. This package is hosted on GitHub at https://github.com/senhu/.

Keywords

A priori ratemakingBivariate gamma distributionCopulaGeneral insuranceGeneralised linear modelModel-based clusteringMixture of experts modelMixture of copulas
Type
Paper
Information
Annals of Actuarial Science , Volume 15 , Issue 2 , July 2021 , pp. 441 - 457
Copyright
© The Author(s), 2021. Published by Cambridge University Press on behalf of Institute and Faculty of Actuaries

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