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Document type:
Zeitschriftenaufsatz 
Author(s):
Czado, C., Kastenmeier, R., Brechmann, E.C., and Min, A. 
Title:
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 inc...    »
 
Keywords:
GLM, copula, maximization by parts, number of claims, average claim size, total claim size. 
Journal title:
Scandinavian Actuarial Journal 
Year:
2012 
Journal volume:
Journal issue:
1.12 
Pages contribution:
278-305 
Reviewed:
ja 
Language:
en 
Print-ISSN:
0346-1238 
Status:
Verlagsversion / published 
Semester:
SS 10 
Format:
Text