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Title:

A mixed copula model for insurance claims and claim sizes

Document type:
Zeitschriftenaufsatz
Author(s):
Czado, C.; Kastenmeier, R.; Brechmann, E. C.; Min, A.
Non-TUM Co-author(s):
ja
Cooperation:
-
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 claims...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Scandinavian Actuarial Journal
Year:
2012
Journal volume:
4
Pages contribution:
278-305
Reviewed:
ja
Language:
en
Status:
Erstveröffentlichung
Semester:
SS 02
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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