Project CEMAPRE internal
|Title||Application of bivariate discrete distributions to actuarial modelling|
|Participants||João Andrade e Silva, Maria de Lourdes Centeno (Principal Investigator)|
|Summary||In the last two decades, actuaries have used Generalized Linear Models (GLM), see Nelder and|
Wedderburn (1972) or Denuit et al (2006) to deal with many actuarial problems, like ratemaking or
claim reserving. More recently dependence among risks has been one of the most popular subjects [See
Denuit et al (2006)]. Dependence modeling has mostly been treated by the use of copulas for
continuous data. However in insurance, dependence between risks is often due to the claim numbers.
This project will deal with generalized linear modelling in presence of dependence between claim
Nelder, J.A. and Wedderburn, R.W.M. (1972) Generalized Linear Models, Journal of the Royal
Statistical Society, Serie A, vol 135,2, pp 370-384.
Denuit, M. Marchal, X., Pitrebois, S. and Walhin, J-F. (2006) Actuarial Modelling of Claim Counts:
Risk Classification, Credibility and Bonus-Malus Systems, Wiley.