CoChat
Sign Up
Cited by 75Probability and Risk ModelsInsurance and Financial Risk ManagementInsurance, Mortality, Demography, Risk Management

The DOI matches its Crossref record; the references it cites are not checked yet.

Non-life rate-making with Bayesian GAMs

Denuit, Michel, Lang, Stefan·2004·Insurance: Mathematics and Economics
DOI 10.1016/j.insmatheco.2004.08.001
Open this paper in CoChat — free account

Overview

Integrity signals

Registry

Crossref · 10.1016/j.insmatheco.2004.08.001

Cites

Statistics

Recomputing p-values needs the paper’s full text.

Verification

Claims the paper makes

We couldn’t retrieve this paper’s full text, so its claims and self-check weren’t run. The registry and citation checks still apply.

Claims other papers make about this one

Each is checked against this paper’s own text: does it say what the citing paper says it does?

  • The linear predictor assumption in Cox and AFT models can be too restrictive for continuous variables like age or premium.

    “Since this assumption can be too restrictive for continuous variables like the customers' age or the premium levels (Denuit and Lang 2004; James et al. 2013), they are traditionally segmented into categories, often unrelated to the data (Dougherty et al. 1995; Ohlsson and Johansson 2010).”

    From Factors Driving Duration to Cross-Selling in Non-Life Insurance: New Empirical Evidence from Switzerland (2022) · cites this paper as Denuit and Lang 2004

Citations

The citation lists haven’t been fetched yet

References 46 · Cited by 75

Research works printed but not linked: 28

  1. Besag, 1991, Bayesian image restoration with two applications in spatial statistics (with discussion), Ann. Inst. Stat. Math., 43, 1, 10.1007/BF00116466 · DOI
  2. Boskov, 1994, Premium rating by geographic area using spatial models, ASTIN Bull., 24, 131, 10.2143/AST.24.1.2005085 · DOI
  3. Brockman, 1992, Statistical motor rating: making effective use of your data, J. Inst. Actuaries, 119, 457, 10.1017/S0020268100019995 · DOI
  4. Brouhns, 2002, Ratemaking by geographical area in the Boskov and Verrall model: a case study using Belgian car insurance data, actu-L, 2, 3
  5. Cebrian, 2003, Generalized Pareto fit to the society of Actuaries’ large claims database, North Am. Actuarial J., 7, 18, 10.1080/10920277.2003.10596098 · DOI
  6. Coutts, 1984, Motor premium rating, Insurance: Math. Econ., 3, 73, 10.1016/0167-6687(84)90046-5 · DOI
  7. Dimakos, 2002, Bayesian premium rating with latent structure, Scand. Actuarial J., 162, 10.1080/034612302320179854 · DOI
  8. Dionne, 1989, A generalization of actuarial automobile insurance rating models: the Negative Binomial distribution with a regression component, ASTIN Bull., 19, 199, 10.2143/AST.19.2.2014909 · DOI
  9. Dionne, 1992, Automobile insurance ratemaking in the presence of asymmetrical information, J. Appl. Econ., 7, 149, 10.1002/jae.3950070204 · DOI · Paper page
  10. Eilers, 1996, Flexible smoothing using B-splines and penalized likelihood (with comments and rejoinder), Stat. Sci., 11, 89, 10.1214/ss/1038425655 · DOI
  11. Fahrmeir, 2004, Penalized additive regression for space-time data: a Bayesian perspective, Stat. Sin., 14, 713
  12. Fahrmeir, 2001, Bayesian inference for generalized additive mixed models based on Markov random field priors, J. R. Stat. Soc. C, 50, 201, 10.1111/1467-9876.00229 · DOI
  13. Fahrmeir, 2001, Bayesian semiparametric regression analysis of multicategorical time-space data, Ann. Inst. Stat. Math., 53, 10, 10.1023/A:1017904118167 · DOI
  14. Friedman, 1991, Multivariate adaptive regression splines (with discussion), Ann. Stat., 19, 1, 10.1214/aos/1176347963 · DOI
  15. Haberman, 1996, Generalized linear models and actuarial science, The Statistician, 45, 407, 10.2307/2988543 · DOI
  16. Hastie, 1993, Varying-coefficient models, J. R. Stat. Soc. B, 55, 757, 10.1111/j.2517-6161.1993.tb01939.x · DOI
  17. Jørgensen, 1994, Fitting Tweedie’s compound Poisson model to insurance claims data, Scand. Actuarial J., 69, 10.1080/03461238.1994.10413930 · DOI
  18. Lang, 2004, Bayesian P-splines, J. Comput. Graph. Stat., 13, 183, 10.1198/1061860043010 · DOI
  19. Lin, 1999, Inference in Generalized Additive Mixed Models by using Smoothing Splines, J. R. Stat. Soc. B, 61, 381, 10.1111/1467-9868.00183 · DOI
  20. Makov, 2002, Principal applications of Bayesian methods in actuarial science: a perspective, North Am. Actuarial J., 5, 53, 10.1080/10920277.2001.10596011 · DOI
  21. Ngo, L., Wand, M.P., 2003. Smoothing with mixed model software. J. Stat. Software 9. Also available at http://www.maths.unsw.edu.au/~wand/. · DOI
  22. Renshaw, 1994, Modeling the claims process in the presence of covariates, ASTIN Bull., 24, 265, 10.2143/AST.24.2.2005070 · DOI · Paper page
  23. Scollnick, 1996, An introduction to MCMC and their applications, Proc. Casualty Actuarial Soc., 158, 114
  24. Spiegelhalter, 2002, Bayesian measures of model complexity and fits (with discussion), J. R. Stat. Soc. B, 64, 583, 10.1111/1467-9868.00353 · DOI · Paper page
  25. Wand, 2003, Smoothing and mixed models, Comput. Stat., 18, 223, 10.1007/s001800300142 · DOI
  26. Wood, 2000, Modelling and smoothing parameter estimation with multiple quadratic penalties, J. R. Stat. Soc. B, 62, 413, 10.1111/1467-9868.00240 · DOI
  27. Wood, 2001, mgcv: GAMs and generalized ridge regression for R, R News, 1, 20
  28. Wood, 2003, Thin plate regression splines, J. R. Stat. Soc. B, 65, 95, 10.1111/1467-9868.00374 · DOI

Metadata

Authors
Denuit, M., & Lang, S.
Affiliations
  • UCLouvain (BE)
  • Ludwig-Maximilians-Universität München (DE)
Corresponding author
Denuit, Michel
ORCID
Venue
Insurance: Mathematics and Economics
Publisher
Elsevier BV
Published
2004-12
Volume
35
Issue
3
Pages
627-647
ISSN
0167-6687 (ISSN-L)
DOI
10.1016/j.insmatheco.2004.08.001
OpenAlex
W2061289251
Cited by
75
References
46
Citations by year
2026: 1 · 2025: 4 · 2024: 2 · 2023: 5 · 2022: 7 · 2021: 8 · 2020: 7 · 2019: 5 · 2018: 8 · 2017: 3 · 2016: 2 · 2015: 3 · 2014: 5 · 2013: 3
FWCI
3.69
Type
journal article
Language
en
Open access
closed
Licence
www.elsevier.com/tdm/userlicense/1.0/ (tdm)
Locations
  • Insurance Mathematics and Economics (publishedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
  • DIAL (Catholic University of Leuven) (submittedVersion)
  • Digital Access to Libraries (submittedVersion)
Topics
  • Social Sciences › Decision Sciences › Management Science and Operations Research › Probability and Risk Models
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Insurance and Financial Risk Management
  • Social Sciences › Demography › Insurance, Mortality, Demography, Risk Management
Keywords
risk factors, spatial risk factors, insurance pricing

About these checks

Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.

Statistics and arithmetic are recomputed, not judged.

Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.

What counts as a claim ›How we measure confidence ›How we check this ›

Are you an author, or do you see a problem with this page? Request a review