Multivariate longitudinal modeling of insurance company expenses

Peng Shi

Insurance: Mathematics and Economics, 2012, vol. 51, issue 1, 204-215

Abstract: Insurers, investors and regulators are interested in understanding the behavior of insurance company expenses, due to the high operating cost of the industry. Expense models can be used for prediction, to identify unusual behavior, and to measure firm efficiency. Current literature focuses on the study of total expenses that consist of three components: underwriting, investment and loss adjustment. A joint study of expenses by type is to deliver more information and is critical in understanding their relationship.

Keywords: Multivariate longitudinal model; Long-tail regression; Elliptical copula; Asymmetric Laplace distribution (search for similar items in EconPapers)
JEL-codes: C33 C46 G22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:1:p:204-215

DOI: 10.1016/j.insmatheco.2011.08.011

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