Total loss estimation using copula-based regression models

DOI10.1016/j.insmatheco.2013.09.003zbMath1290.91092arXiv1209.5356OpenAlexW2141088203MaRDI QIDQ2015655

Daniel Silvestrini, Nicole Krämer, Eike Christian Brechmann, Claudia Czado

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.5356

zbMATH Keywords

generalized linear modeldependence modelingnumber of claimsclaim sizepolicy loss

Mathematics Subject Classification ID

Related Items (23)

Bivariate copula additive models for location, scale and shape ⋮ TERRITORIAL RISK CLASSIFICATION USING SPATIALLY DEPENDENT FREQUENCY-SEVERITY MODELS ⋮ Modelling the aggregate loss for insurance claims with dependence ⋮ Knowledge Learning of Insurance Risks Using Dependence Models ⋮ Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims ⋮ Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims ⋮ A dependent frequency-severity approach to modeling longitudinal insurance claims ⋮ Collective risk models with dependence ⋮ Frequency-severity experience rating based on latent Markovian risk profiles ⋮ Dependence modeling of frequency-severity of insurance claims using waiting time ⋮ Joint discrete and continuous matrix distribution modeling ⋮ A multi-year microlevel collective risk model ⋮ Dependent frequency-severity modeling of insurance claims ⋮ The effectiveness of TARP-CPP on the US banking industry: a new copula-based approach ⋮ Generalized linear models for dependent frequency and severity of insurance claims ⋮ A copula transformation in multivariate mixed discrete-continuous models ⋮ A modified pseudo-copula regression model for risk groups with various dependency levels ⋮ On copula-based collective risk models: from elliptical copulas to vine copulas ⋮ Bayesian total loss estimation using shared random effects ⋮ Tail negative dependence and its applications for aggregate loss modeling ⋮ Quantile regression via the EM algorithm for joint modeling of mixed discrete and continuous data based on Gaussian copula ⋮ Modeling Malicious Hacking Data Breach Risks ⋮ Generalised linear models for aggregate claims: to Tweedie or not?

Uses Software

• VGAM
• CDVine
• QRM
• CopulaRegression

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pair-copula constructions of multiple dependence
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Derivatives and Fisher information of bivariate copulas
• An introduction to copulas.
• Fitting bivariate loss distributions with copulas
• Correlated data analysis: modeling, analytics, and applications
• A mixed copula model for insurance claims and claim sizes
• Approximation Theorems of Mathematical Statistics
• Spatial modelling of claim frequency and claim size in non-life insurance
• Joint Regression Analysis of Correlated Data Using Gaussian Copulas
• Multivariate Dispersion Models Generated From Gaussian Copula
• Pair Copula Constructions for Multivariate Discrete Data
• Simultaneous Inference in General Parametric Models
• Understanding Relationships Using Copulas
• Maximization by Parts in Likelihood Inference

This page was built for publication: Total loss estimation using copula-based regression models