University Library
  • Login
A gateway to Melbourne's research publications
Minerva Access is the University's Institutional Repository. It aims to collect, preserve, and showcase the intellectual output of staff and students of the University of Melbourne for a global audience.
View Item 
  • Minerva Access
  • Business & Economics
  • Economics
  • Economics - Research Publications
  • View Item
  • Minerva Access
  • Business & Economics
  • Economics
  • Economics - Research Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

    On the Type I multivariate zero-truncated hurdle model with applications in health insurance

    Thumbnail
    Citations
    Altmetric
    Author
    Zhang, P; Calderin, E; Li, S; Wu, X
    Date
    2020-01-01
    Source Title
    Insurance: Mathematics and Economics
    Publisher
    Elsevier
    University of Melbourne Author/s
    Wu, Xueyuan; Calderin, Enrique; Li, Shuanming; ZHANG, PENG
    Affiliation
    Economics
    Metadata
    Show full item record
    Document Type
    Journal Article
    Citations
    Zhang, P., Calderin, E., Li, S. & Wu, X. (2020). On the Type I multivariate zero-truncated hurdle model with applications in health insurance. Insurance: Mathematics and Economics, 90, pp.35-45. https://doi.org/10.1016/j.insmatheco.2019.10.010.
    Access Status
    This item is embargoed and will be available on 2022-01-01
    URI
    http://hdl.handle.net/11343/253886
    DOI
    10.1016/j.insmatheco.2019.10.010
    Abstract
    In the general insurance modeling literature, there has been a lot of work based on univariate zero-truncated models, but little has been done in the multivariate zero-truncation cases, for instance a line of insurance business with various classes of policies. There are three types of zero-truncation in the multivariate setting: only records with all zeros are missing, zero counts for one or some classes are missing, or zeros are completely missing for all classes. In this paper, we focus on the first case, the so-called Type I zero-truncation, and a new multivariate zero-truncated hurdle model is developed to study it. The key idea of developing such a model is to identify a stochastic representation for the underlying random variables, which enables us to use the EM algorithm to simplify the estimation procedure. This model is used to analyze a health insurance claims dataset that contains claim counts from different categories of claims without common zero observations.

    Export Reference in RIS Format     

    Endnote

    • Click on "Export Reference in RIS Format" and choose "open with... Endnote".

    Refworks

    • Click on "Export Reference in RIS Format". Login to Refworks, go to References => Import References


    Collections
    • Minerva Elements Records [53039]
    • Economics - Research Publications [588]
    Minerva AccessDepositing Your Work (for University of Melbourne Staff and Students)NewsFAQs

    BrowseCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects
    My AccountLoginRegister
    StatisticsMost Popular ItemsStatistics by CountryMost Popular Authors