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Document type:
Zeitschriftenaufsatz 
Author(s):
Erhardt, V., Czado, C. 
Title:
A method for approximately sampling high-dimensional count variables with prespecified Pearson correlation. 
Abstract:
In insurance applications yearly claim totals of different coverage fields are often dependent. In many cases there are numerous claim totals which are zero. A marginal claim distribution will have an additional point mass at zero, hence this probability function will not be continuous at zero and the cumulative distribution functions will not be uniform. Therefore using a copula approach to model dependency is not straightforward. We will illustrate how to express the joint probabilit...    »
 
Keywords:
dependence modeling, health insurance, pair-copula-constructions, zero-claim. 
Journal title:
INFORMS - Journal on Computing 
Year:
2010 
Reviewed:
ja 
Language:
en 
Notes:
in Revision 
Semester:
SS 10 
Format:
Text