New Mathematics Study Findings Reported from ‘Ovidius’ University Constanta (Frequency and Severity Dependence In the Collective Risk Model: an Approach Based On Sarmanov Distribution)

2020 NOV 16 (NewsRx) -- By a News Reporter-Staff News Editor at Math Daily News -- Current study results on Mathematics have been published. According to news originating from Constanta, Romania, by NewsRx correspondents, research stated, “In actuarial mathematics, the claims of an insurance portfolio are often modeled using the collective risk model, which consists of a random number of claims of independent, identically distributed (i.i.d.) random variables (r.v.s) that represent cost per claim. To facilitate computations, there is a classical assumption of independence between the random number of such random variables (i.e., the claims frequency) and the random variables themselves (i.e., the claim severities).”

Financial support for this research came from Fundacion BBVA, Equipos de Investigacion Cientifica en Big Data 2018.

Our news journalists obtained a quote from the research from ‘Ovidius’ University Constanta, “However, recent studies showed that, in practice, this assumption does not always hold, hence, introducing dependence in the collective model becomes a necessity. In this sense, one trend consists of assuming dependence between the number of claims and their average severity. Alternatively, we can consider heterogeneity between the individual cost of claims associated with a given number of claims. Using the Sarmanov distribution, in this paper we aim at introducing dependence between the number of claims and the individual claim severities. As marginal models, we use the Poisson and Negative Binomial (NB) distributions for the number of claims, and the Gamma and Lognormal distributions for the cost of claims. The maximum likelihood estimation of the proposed Sarmanov distribution is discussed.”

According to the news editors, the research concluded: “We present a numerical study using a real data set from a Spanish insurance portfolio.”

For more information on this research see: Frequency and Severity Dependence In the Collective Risk Model: an Approach Based On Sarmanov Distribution. Mathematics, 2020;8(9):1400. Mathematics can be contacted at: Mdpi, St Alban-Anlage 66, Ch-4052 Basel, Switzerland.

The news correspondents report that additional information may be obtained from Raluca Vernic, ‘Ovidius’ University Constanta, Faculty of Mathematics and Computer Science, 124 Mamaia Blvd, Constanta, Romania.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.3390/math8091400. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

(Our reports deliver fact-based news of research and discoveries from around the world.)