Zero-inflated claim count modeling and testing – a case study
Zero-inflated claim count modeling and testing – a case study
Author(s): Alicja Wolny-DominiakSubject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: claim counts; ZIP; ZINB; ZIGP
Summary/Abstract: In this paper the application of parametric count data models in claim counts modeling is investigated. Insurance portfolios have a very specific characteristic, i.e. for many policies there are no claims observed in the insurance history for a given period of time. As the zero-inflation and over-dispersion effects are a common situation in insurance portfolios, three models: zero-inflated Poisson (ZIP), zero-inflated negative binomial (ZINB) and zeroinflated generalized Poisson regression (ZIGP) are tested against the classic Poisson model. The 4-step procedure for modeling zero-inflation effect is proposed. This procedure is applied in the case study. For all calculations the R CRAN software was used.
Journal: Ekonometria
- Issue Year: 2013
- Issue No: 39
- Page Range: 144-151
- Page Count: 8
- Language: English