Actuarial modelling of longitudinal claims data through GAMM's : some methodological results

Brouhns, Natacha;Denuit, Michel
(2003) Blätter der DGVFM — Vol. 26, n° 1, p. 25-39 (2003)

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Abstract
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 is thus generated by their sharing of common/correlated latent variables. In many cases, this results in strong positive association.
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  • Louvain School of ManagementCESAM - Center for Studies in Asset Management

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Brouhns, N., & Denuit, M. (2003). Actuarial modelling of longitudinal claims data through GAMM’s : some methodological results. Blätter der DGVFM, 26(1), 25-39. https://doi.org/10.1007/BF02808771 (Original work published 2003)