User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Krämer, N., Brechmann, E.C., Silvestrini, D., and Czado, C. 
Title:
Total loss estimation using copula-based regression models 
Abstract:
We present a joint copula-based model for insurance claims and sizes. It uses bivariate copulae to accommodate for the dependence between these quantities. We derive the general distribution of the policy loss without the restrictive assumption of independence. We illustrate that this distribution tends to be skewed and multi-modal, and that an independence assumption can lead to substantial bias in the estimation of the policy loss. Further, we extend our framework to regression models by com...    »
 
Keywords:
dependence modeling; generalized linear model; number of claims; claim size; policy loss 
Journal title:
Insurance: Mathematics and Economics 
Year:
2013 
Journal volume:
53 
Year / month:
2013-11 
Journal issue:
Pages contribution:
829–839 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text