PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING

@article{Bladt2021PHASETYPEDF,
  title={PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING},
  author={Martin Bladt},
  journal={ASTIN Bulletin},
  year={2021},
  volume={52},
  pages={417 - 448}
}
  • Martin Bladt
  • Published 11 October 2021
  • Computer Science
  • ASTIN Bulletin
Abstract This paper addresses the task of modeling severity losses using segmentation when the data distribution does not fall into the usual regression frameworks. This situation is not uncommon in lines of business such as third-party liability insurance, where heavy-tails and multimodality often hamper a direct statistical analysis. We propose to use regression models based on phase-type distributions, regressing on their underlying inhomogeneous Markov intensity and using an extension of… 
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