Bonus–Malus systems with Weibull distributed claim severities

2014 ◽  
Vol 8 (2) ◽  
pp. 217-233 ◽  
Author(s):  
Weihong Ni ◽  
Corina Constantinescu ◽  
Athanasios A. Pantelous

AbstractOne of the pricing strategies for Bonus–Malus (BM) systems relies on the decomposition of the claims’ randomness into one part accounting for claims’ frequency and the other part for claims’ severity. By mixing an exponential with a Lévy distribution, we focus on modelling the claim severity component as a Weibull distribution. For a Negative Binomial number of claims, we employ the Bayesian approach to derive the BM premiums for Weibull severities. We then conclude by comparing our explicit formulas and numerical results with those for Pareto severities that were introduced by Frangos & Vrontos.

Author(s):  
M. Azarkhail ◽  
M. Modarres

The physics-of-failure (POF) modeling approach is a proven and powerful method to predict the reliability of mechanical components and systems. Most of POF models have been originally developed based upon empirical data from a wide range of applications (e.g. fracture mechanics approach to the fatigue life). Available curve fitting methods such as least square for example, calculate the best estimate of parameters by minimizing the distance function. Such point estimate approaches, basically overlook the other possibilities for the parameters and fail to incorporate the real uncertainty of empirical data into the process. The other important issue with traditional methods is when new data points become available. In such conditions, the best estimate methods need to be recalculated using the new and old data sets all together. But the original data sets, used to develop POF models may be no longer available to be combined with new data in a point estimate framework. In this research, for efficient uncertainty management in POF models, a powerful Bayesian framework is proposed. Bayesian approach provides many practical features such as a fair coverage of uncertainty and the updating concept that provide a powerful means for knowledge management, meaning that the Bayesian models allow the available information to be stored in a probability density format over the model parameters. These distributions may be considered as prior to be updated in the light of new data when they become available. At the first part of this article a brief review of classical and probabilistic approach to regression is presented. In this part the accuracy of traditional normal distribution assumption for error is examined and a new flexible likelihood function is proposed. The Bayesian approach to regression and its bonds with classical and probabilistic methods are explained next. In Bayesian section we shall discuss how the likelihood functions introduced in probabilistic approach, can be combined with prior information using the conditional probability concept. In order to highlight the advantages, the Bayesian approach is further clarified with case studies in which the result of calculation is compared with other traditional methods such as least square and maximum likelihood estimation (MLE) method. In this research, the mathematical complexity of Bayesian inference equations was overcome utilizing Markov Chain Monte Carlo simulation technique.


2021 ◽  
Vol 14 (2) ◽  
pp. 231-232
Author(s):  
Adnan Kastrati ◽  
Alexander Hapfelmeier

Author(s):  
Till J. Kniffka ◽  
Horst Ecker

Stability studies of parametrically excited systems are frequently carried out by numerical methods. Especially for LTP-systems, several such methods are known and in practical use. This study investigates and compares two methods that are both based on Floquet’s theorem. As an introductary benchmark problem a 1-dof system is employed, which is basically a mechanical representation of the damped Mathieu-equation. The second problem to be studied in this contribution is a time-periodic 2-dof vibrational system. The system equations are transformed into a modal representation to facilitate the application and interpretation of the results obtained by different methods. Both numerical methods are similar in the sense that a monodromy matrix for the LTP-system is calculated numerically. However, one method uses the period of the parametric excitation as the interval for establishing that matrix. The other method is based on the period of the solution, which is not known exactly. Numerical results are computed by both methods and compared in order to work out how they can be applied efficiently.


Author(s):  
Daiane Aparecida Zuanetti ◽  
Luis Aparecido Milan

In this paper, we propose a new Bayesian approach for QTL mapping of family data. The main purpose is to model a phenotype as a function of QTLs’ effects. The model considers the detailed familiar dependence and it does not rely on random effects. It combines the probability for Mendelian inheritance of parents’ genotype and the correlation between flanking markers and QTLs. This is an advance when compared with models which use only Mendelian segregation or only the correlation between markers and QTLs to estimate transmission probabilities. We use the Bayesian approach to estimate the number of QTLs, their location and the additive and dominance effects. We compare the performance of the proposed method with variance component and LASSO models using simulated and GAW17 data sets. Under tested conditions, the proposed method outperforms other methods in aspects such as estimating the number of QTLs, the accuracy of the QTLs’ position and the estimate of their effects. The results of the application of the proposed method to data sets exceeded all of our expectations.


Parasitology ◽  
2005 ◽  
Vol 131 (3) ◽  
pp. 393-401 ◽  
Author(s):  
S. GABA ◽  
V. GINOT ◽  
J. CABARET

Macroparasites are almost always aggregated across their host populations, hence the Negative Binomial Distribution (NBD) with its exponent parameter k is widely used for modelling, quantifying or analysing parasite distributions. However, many studies have pointed out some drawbacks in the use of the NBD, with respect to the sensitivity of k to the mean number of parasites per host or the under-representation of the heavily infected hosts in the estimate of k. In this study, we compare the fit of the NBD with 4 other widely used distributions on observed parasitic gastrointestinal nematode distributions in their sheep host populations (11 datasets). Distributions were fitted to observed data using maximum likelihood estimator and the best fits were selected using the Akaike's Information Criterion (AIC). A simulation study was also conducted in order to assess the possible bias in parameter estimations especially in the case of small sample sizes. We found that the NBD is seldom the best fit for gastrointestinal nematode distributions. The Weibull distribution was clearly more appropriate over a very wide range of degrees of aggregation, mainly because it was more flexible in fitting the heavily infected hosts. Moreover, the Weibull distribution estimates are less sensitive to sample size. Thus, when possible, we suggest to carefully check on observed data if the NBD is appropriate before conducting any further analysis on parasite distributions.


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