Parametric Multiple Regression Risk Models: Theory and Statistical Analysis

This paper starts with a risk-theoretic (frequency and severity distributions) model but allows the parameters of this model to vary. Albrecht uses maximum likelihood estimators for parameter estimation. The structure of the model allows the parameters to vary by accident year and thus introduce flavor of the adaptive models. The following is the abstract presented: "Parametric multiple regression models for the claim number and the claim amount of an individual risk are introduced allowing explanatory variables to influence the mean claim number (amount). A model for an entire portfolio of risks is established on this basis. Then an extensive and in many case efficient statistical analysis of the model is presented."