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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Krämer, N., Brechmann, E.C., Silvestrini, D., and Czado, C. 
Titel:
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...    »
 
Stichworte:
dependence modeling; generalized linear model; number of claims; claim size; policy loss 
Zeitschriftentitel:
Insurance: Mathematics and Economics 
Jahr:
2013 
Band / Volume:
53 
Jahr / Monat:
2013-11 
Heft / Issue:
Seitenangaben Beitrag:
829–839 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text