Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction (Q6118721): Difference between revisions

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scientific article; zbMATH DE number 7822311

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English	Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction	scientific article; zbMATH DE number 7822311

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instance of

scholarly article

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title

Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction (English)

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Journal of Econometrics

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publication date

21 March 2024

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full work available at URL

https://arxiv.org/abs/1805.07301

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zbMATH Keywords

multivariate longitudinal data

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copula

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D-vine

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insurance operations

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predictive analytics

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graphical model

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MaRDI profile type

MaRDI publication profile

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cites work

Pair-copula constructions of multiple dependence

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Reinsurance

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Vine copula based likelihood estimation of dependence patterns in multivariate event time data

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Copulas and Temporal Dependence

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Probability density decomposition for conditionally dependent random variables modeled by vines

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Vines -- a new graphical model for dependent random variables.

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Risk aggregation with dependence uncertainty

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A POSTERIORI RATEMAKING WITH PANEL DATA

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Truncated regular vines in high dimensions with application to financial data

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Time series: theory and methods.

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A course in credibility theory and its applications

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Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

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Estimation of copula-based semiparametric time series models

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Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models

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Efficient estimation of copula-based semiparametric Markov models

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Predictive Model Assessment for Count Data

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Generalized Linear Models for Insurance Data

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Actuarial Modelling of Claim Counts

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Summarizing Insurance Scores Using a Gini Index

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Hierarchical Insurance Claims Modeling

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Copula credibility for aggregate loss models

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A longitudinal data analysis interpretation of credibility models

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Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns

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Strictly Proper Scoring Rules, Prediction, and Estimation

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An Optimum Property of Regular Maximum Likelihood Estimation

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Asymptotic efficiency of the two-stage estimation method for copula-based models

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Dependence Modeling with Copulas

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Uncertainty Analysis with High Dimensional Dependence Modelling

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General Insurance Deductible Ratemaking

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Simulated Method of Moments Estimation for Copula-Based Multivariate Models

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Bonus-Malus premiums under the dependent frequency-severity modeling

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Pair Copula Constructions for Multivariate Discrete Data

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On the distributional transform, Sklar's theorem, and the empirical copula process

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Pair Copula Constructions for Insurance Experience Rating

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Q3281461

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Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses

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Dual utilities on risk aggregation under dependence uncertainty

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Semiparametric Dynamic Max-Copula Model for Multivariate Time Series

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Identifiers

arXiv ID

1805.07301

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DOI

10.1016/j.jeconom.2024.105676

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6118721

@@ Property / cites work @@
+Pair-copula constructions of multiple dependence
@@ Property / cites work: Pair-copula constructions of multiple dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Reinsurance
@@ Property / cites work: Reinsurance / rank @@
+Normal rank
@@ Property / cites work @@
+Vine copula based likelihood estimation of dependence patterns in multivariate event time data
+Normal rank
@@ Property / cites work @@
+Copulas and Temporal Dependence
@@ Property / cites work: Copulas and Temporal Dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Probability density decomposition for conditionally dependent random variables modeled by vines
+Normal rank
@@ Property / cites work @@
+Vines -- a new graphical model for dependent random variables.
+Normal rank
@@ Property / cites work @@
+Risk aggregation with dependence uncertainty
@@ Property / cites work: Risk aggregation with dependence uncertainty / rank @@
+Normal rank
@@ Property / cites work @@
+A POSTERIORI RATEMAKING WITH PANEL DATA
@@ Property / cites work: A POSTERIORI RATEMAKING WITH PANEL DATA / rank @@
+Normal rank
@@ Property / cites work @@
+Truncated regular vines in high dimensions with application to financial data
+Normal rank
@@ Property / cites work @@
+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
+Normal rank
@@ Property / cites work @@
+A course in credibility theory and its applications
+Normal rank
@@ Property / cites work @@
+Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
+Normal rank
@@ Property / cites work @@
+Estimation of copula-based semiparametric time series models
+Normal rank
@@ Property / cites work @@
+Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
+Normal rank
@@ Property / cites work @@
+Efficient estimation of copula-based semiparametric Markov models
+Normal rank
@@ Property / cites work @@
+Predictive Model Assessment for Count Data
@@ Property / cites work: Predictive Model Assessment for Count Data / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized Linear Models for Insurance Data
@@ Property / cites work: Generalized Linear Models for Insurance Data / rank @@
+Normal rank
@@ Property / cites work @@
+Actuarial Modelling of Claim Counts
@@ Property / cites work: Actuarial Modelling of Claim Counts / rank @@
+Normal rank
@@ Property / cites work @@
+Summarizing Insurance Scores Using a Gini Index
@@ Property / cites work: Summarizing Insurance Scores Using a Gini Index / rank @@
+Normal rank
@@ Property / cites work @@
+Hierarchical Insurance Claims Modeling
@@ Property / cites work: Hierarchical Insurance Claims Modeling / rank @@
+Normal rank
@@ Property / cites work @@
+Copula credibility for aggregate loss models
@@ Property / cites work: Copula credibility for aggregate loss models / rank @@
+Normal rank
@@ Property / cites work @@
+A longitudinal data analysis interpretation of credibility models
+Normal rank
@@ Property / cites work @@
+Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns
+Normal rank
@@ Property / cites work @@
+Strictly Proper Scoring Rules, Prediction, and Estimation
+Normal rank
@@ Property / cites work @@
+An Optimum Property of Regular Maximum Likelihood Estimation
+Normal rank
@@ Property / cites work @@
+Asymptotic efficiency of the two-stage estimation method for copula-based models
+Normal rank
@@ Property / cites work @@
+Dependence Modeling with Copulas
@@ Property / cites work: Dependence Modeling with Copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Uncertainty Analysis with High Dimensional Dependence Modelling
+Normal rank
@@ Property / cites work @@
+General Insurance Deductible Ratemaking
@@ Property / cites work: General Insurance Deductible Ratemaking / rank @@
+Normal rank
@@ Property / cites work @@
+Simulated Method of Moments Estimation for Copula-Based Multivariate Models
+Normal rank
@@ Property / cites work @@
+Bonus-Malus premiums under the dependent frequency-severity modeling
+Normal rank
@@ Property / cites work @@
+Pair Copula Constructions for Multivariate Discrete Data
+Normal rank
@@ Property / cites work @@
+On the distributional transform, Sklar's theorem, and the empirical copula process
+Normal rank
@@ Property / cites work @@
+Pair Copula Constructions for Insurance Experience Rating
+Normal rank
@@ Property / cites work @@
+Q3281461
@@ Property / cites work: Q3281461 / rank @@
+Normal rank
@@ Property / cites work @@
+Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses
+Normal rank
@@ Property / cites work @@
+Dual utilities on risk aggregation under dependence uncertainty
+Normal rank
@@ Property / cites work @@
+Semiparametric Dynamic Max-Copula Model for Multivariate Time Series
+Normal rank
@@ Property / Wikidata QID @@
+Q128924976
@@ Property / Wikidata QID: Q128924976 / rank @@
+Normal rank