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Titel:

Total loss estimation using copula-based regression models

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Krämer, N., Brechmann, E.C., Silvestrini, D., and Czado, C.
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 comb...     »
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:
3
Seitenangaben Beitrag:
829–839
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1016/j.insmatheco.2013.09.003
WWW:
http://www.sciencedirect.com/science/article/pii/S0167668713001364
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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