Modeling dependence between loss triangles with hierarchical Archimedean copulas
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Cites work
- A Bayesian log-normal model for multivariate loss reserving
- A copula regression for modeling multivariate loss triangles and quantifying reserving variability
- A synchronous bootstrap to account for dependencies between lines of business in the estimation of loss reserve prediction error
- Accounting year effects modeling in the stochastic chain ladder reserving method
- Families of Multivariate Distributions
- Forecasting runoff triangles
- Forecasting with the age-period-cohort model and the extended chain-ladder model
- Hierarchies of Archimedean copulas
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- Modeling accounting year dependence in runoff triangles
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- On the structure and estimation of hierarchical Archimedean copulas
- The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
- “A Bayesian Log-Normal Model for Multivariate Loss Reserving”, Peng Shi, Sanjib Basu, and Glenn G. Meyers, March 2012
Cited in
(20)- Fitting bivariate loss distributions with copulas
- Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas
- 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 copula-based hierarchical hybrid loss distribution
- Rank-based methods for modeling dependence between loss triangles
- Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach
- Sensitivity analysis of some applied probability models
- The reserving for outstanding losses based on multivariate t-copula model
- Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach
- On heterogeneity in the individual model with both dependent claim occurrences and severities
- Common shock models for claim arrays
- SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION
- Sarmanov family of bivariate distributions for multivariate loss reserving analysis
- A copula regression for modeling multivariate loss triangles and quantifying reserving variability
- Copula based Bayesian data analysis of loss reserving
- Inference for overparametrized hierarchical Archimedean copulas
- Recurrent Neural Networks for Multivariate Loss Reserving and Risk Capital Analysis
- Dependence modelling on loss triangles: copula regression with unobserved effect
- A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
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