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Document type:
Masterarbeit 
Author(s):
Salama, Hana Sameh Ahmed 
Title:
Copula Transformation Method for Collective Risk Models 
Translated title:
Copula-Transformationsmethode für kollektive Risikomodelle 
Abstract:
Several collective risk models have been recently published that relaxed the unrealistic assumption of independence between claim frequency and severities. However, most of these models considered the dependence between the frequency and average/aggregated severities. Now, Oh et al. (2020) propose an alternative model to capture the dependence between the frequency and the individual severities, using elliptical copulas, as well as generalizing it to vine copulas. Copula models o er a ex...    »
 
Supervisor:
PD Dr Aleksey Min 
Advisor:
Prof. Jae Youn Ahn (Ewha Womans University), PD Dr. Aleksey Min, Rosy Oh, PhD (Ewha Womans University) 
Year:
2020 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Commencing Date:
15.05.2020