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Longitudinal Modeling of Insurance Claim Counts Using Jitters
2011
Social Science Research Network
Modeling insurance claim counts is a critical component in the ratemaking process for property and casualty insurance. This article explores the usefulness of copulas to model the number of insurance claims for an individual policyholder within a longitudinal context. To address the limitations of copulas commonly attributed to multivariate discrete data, we adopt a "jittering" method to the claim counts which has the effect of continuitizing the data. Elliptical copulas are proposed to
doi:10.2139/ssrn.1926237
fatcat:ar5qllaisbeo5pcet63ewlnnxi