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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Czado, C.; Kastenmeier, R.; Brechmann, E. C.; Min, A. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
A mixed copula model for insurance claims and claim sizes 
Abstract:
A crucial assumption of the classical compound Poisson model of Lundberg (1903) for assessing the total loss incurred in an insurance portfolio is the independence between the occurrence of a claim and its claims size. In this paper we present a mixed copula approach suggested by Song et al. (2009) to allow for dependency between the number of claims and its corresponding average claim size using a Gaussian copula. Marginally we permit for regression effects both on the number of incurred claims...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Scandinavian Actuarial Journal 
Jahr:
2012 
Band / Volume:
Seitenangaben Beitrag:
278-305 
Reviewed:
ja 
Sprache:
en 
Status:
Erstveröffentlichung 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein