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Title:

Total loss estimation using copula-based regression models

Document type:
Zeitschriftenaufsatz
Author(s):
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...     »
Keywords:
dependence modeling; generalized linear model; number of claims; claim size; policy loss
Journal title:
Insurance: Mathematics and Economics
Year:
2013
Journal volume:
53
Year / month:
2013-11
Journal issue:
3
Pages contribution:
829–839
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1016/j.insmatheco.2013.09.003
WWW:
http://www.sciencedirect.com/science/article/pii/S0167668713001364
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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