Rank-based methods for modeling dependence between loss triangles

DOI10.1007/S13385-016-0134-YzbMath1394.91205OpenAlexW2460748582WikidataQ59465855 ScholiaQ59465855MaRDI QIDQ2356636

Christian Genest, Marie-Pier Côté, Anas Abdallah

Publication date: 6 June 2017

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-016-0134-y

zbMATH Keywords

copulahierarchical modelingGLMparametric bootstrapcapital allocationrisk aggregationrun-off trianglesnested Archimedean copulasrank-based estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (5)

Bayesian modeling of multivariate loss reserving data based on scale mixtures of multivariate normal distributions: estimation and case influence diagnostics ⋮ Rank-based inference tools for copula regression, with property and casualty insurance applications ⋮ Tweedie double GLM loss triangles with dependence within and across business lines ⋮ A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving ⋮ On Fitting Dependent Nonhomogeneous Loss Models to Unearned Premium Risk

Uses Software

• nacopula
• NSM3
• QRM
• TwoCop

Cites Work

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