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ON THE $r\mathcal{B}$ELL FAMILY OF DISTRIBUTIONS WITH ACTUARIAL APPLICATIONS

Published online by Cambridge University Press:  18 May 2021

Deepesh Bhati  and
Enrique Calderín-Ojeda Open the ORCID record for Enrique Calderín-Ojeda [Opens in a new window]
Deepesh Bhati
Affiliation:
Department of Statistics Central University of RajasthanKishangarh, India E-Mail: [email protected]
Enrique Calderín-Ojeda*
Affiliation:
Centre for Actuarial Studies Department of Economics The University of Melbourne, Australia E-Mail: [email protected]
*
E-Mail: [email protected]
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Abstract

In this paper, a new three-parameter discrete family of distributions, the $r{\mathcal B}ell$ family, is introduced. The family is based on series expansion of the r-Bell polynomials. The proposed model generalises the classical Poisson and the recently proposed Bell and Bell–Touchard distributions. It exhibits interesting stochastic properties. Its probabilities can be computed by a recursive formula that allows us to calculate the probability function of the amount of aggregate claims in the collective risk model in terms of an integral equation. Univariate and bivariate regression models are presented. The former regression model is used to explain the number of out-of-use claims in an automobile insurance portfolio, by showing a good out-of-sample performance. The latter is used to describe the number of out-of-use and parking claims jointly. This family provides an alternative to other traditionally used distributions to describe count data such as the negative binomial and Poisson-inverse Gaussian models.

Keywords

Automobile insurancebivariate regressionmultiple Poisson processout-of-sampler-Bell Polynomials60E0562E1562H12
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 52 , Issue 1 , January 2022 , pp. 185 - 210
Copyright
© The Author(s), 2021. Published by Cambridge University Press on behalf of The International Actuarial Association

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