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

Sen Hu, T. Brendan Murphy and O’Hagan, Adrian

Annals of Actuarial Science, 2021, vol. 15, issue 2, 441-457

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/.

Date: 2021
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