Prediction Interval for Compound Conway–Maxwell–Poisson Regression Model with Application to Vehicle Insurance Claim Data

Regression models in which the response variable has a compound distribution have applications in actuarial science. For example, the aggregate claim amount in a vehicle insurance portfolio can be modeled using a compound Poisson distribution. In this paper, we propose a regression model, wherein the response variable is assumed to have a compound Conway–Maxwell–Poisson (CMP) distribution. This distribution is a parsimonious two-parameter Poisson distribution that accounts for both over- and under-dispersed count data, making it more suitable for application in various fields. A two-part methodology in the framework of a generalized linear model is proposed to estimate the parameters. Additionally, a method to obtain the prediction interval of the response variable is developed. The workings of the proposed methodology are illustrated through simulated data. An application of the compound CMP regression model to real-life vehicle insurance claims data is presented.