Actuarial Modelling of Longitudinal Claims Data through GAMM's: Some Methodological Results

This paper discusses the type of dependence induced by the Generalized Additive Mixed Model (GAMM) approach to regression analysis with correlated data. In this framework, random effects are added on the same scale as the fixed effects. Dependence between outcomes in thus generated by their sharing of common/correlated latent variables. In many cases, this results in strong positive association.