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Titel:

A mixed copula model for insurance claims and claim sizes

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Czado, C., Kastenmeier, R., Brechmann, E.C., and Min, A.
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...     »
Stichworte:
GLM, copula, maximization by parts, number of claims, average claim size, total claim size.
Zeitschriftentitel:
Scandinavian Actuarial Journal
Jahr:
2012
Band / Volume:
4
Heft / Issue:
1.12
Seitenangaben Beitrag:
278-305
Reviewed:
ja
Sprache:
en
WWW:
https://www.econbiz.de/Record/a-mixed-copula-model-for-insurance-claims-and-claim-sizes-czado-claudia/10010056071
Print-ISSN:
0346-1238
Status:
Verlagsversion / published
Semester:
SS 10
Format:
Text
 BibTeX