EM Estimation for the Bivariate Mixed Exponential Regression Model

Zezhun Chen, Angelos Dassios, George Tzougas

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In this paper, we present a new family of bivariate mixed exponential regression models for taking into account the positive correlation between the cost of claims from motor third party liability bodily injury and property damage in a versatile manner. Furthermore, we demonstrate how maximum likelihood estimation of the model parameters can be achieved via a novel Expectation-Maximization algorithm. The implementation of two members of this family, namely the bivariate Pareto or, Exponential-Inverse Gamma, and bivariate Exponential-Inverse Gaussian regression models is illustrated by a real data application which involves fitting motor insurance data from a European motor insurance company.
Original languageEnglish
Article number105
Issue number5
Publication statusPublished - 17 May 2022


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