Multivariate Frequency-Severity Regression Models in Insurance
Many insurance data sets feature information about how often claims arise, the frequency, in addition to the claim size, the severity. Observable responses can include: N, the number of claims (events), y k, k = 1,..., N, the amount of each claim (loss), and S = y1 + +yN, the aggregate claim amount. By convention, the set fyjgis empty when N = 0.
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