Rank-based inference tools for copula regression, with property and casualty insurance applications
DOI10.1016/J.INSMATHECO.2019.08.001zbMATH Open1427.91223OpenAlexW2971914912MaRDI QIDQ2010890FDOQ2010890
Authors: Marie-Pier Côté, Christian Genest, Marek Omelka 
Publication date: 28 November 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.08.001
Recommendations
- Rank-based inference for bivariate extreme-value copulas
- Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims
- Copula-Based Regression Estimation and Inference
- Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing
- Copula-based regression models: a survey
- Extending the rank likelihood for semiparametric copula estimation
- Insurance ratemaking using a copula-based multivariate Tweedie model
- Inference for semiparametric Gaussian copula model adjusted for linear regression using residual ranks
- Multilevel modeling of insurance claims using copulas
- A copula regression model for estimating firm efficiency in the insurance industry
residualsgoodness-of-fit testweak convergenceempirical copula processmaximum pseudo-likelihoodinversion of Kendall's tau
Actuarial mathematics (91G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Gaussian copula marginal regression
- Goodness-of-fit tests for copulas: A review and a power study
- Asymptotic behavior of the empirical multilinear copula process under broad conditions
- Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
- Multivariate Dispersion Models Generated From Gaussian Copula
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Multilevel modeling of insurance claims using copulas
- Estimation of a Copula when a Covariate Affects only Marginal Distributions
- Bivariate Location–Scale Models for Regression Analysis, with Applications to Lifetime Data
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Empirical processes indexed by estimated functions
- Title not available (Why is that?)
- A bivariate regression model for matched paired survival data: local influence and residual analysis
- Hierarchical Insurance Claims Modeling
- Copula credibility for aggregate loss models
- A mixed copula model for insurance claims and claim sizes
- Credibility Using Copulas
- On the weak convergence of the empirical conditional copula under a simplifying assumption
- Regression in a bivariate copula model
- Rank-based methods for modeling dependence between loss triangles
- MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULAS
- Convergence of integrals of uniform empirical and quantile processes
- Dependent Multi-Peril Ratemaking Models
- A bivariate regression model with cure fraction
- A copula approach for dependence modeling in multivariate nonparametric time series
Cited In (7)
- RafterNet: Probabilistic Predictions in Multi-Response Regression
- Estimating copulas for insurance from scarce observations, expert opinion and prior information: a Bayesian approach
- Using copulas for rating weather index insurance contracts
- Copula modeling from Abe Sklar to the present day
- Hypothesis Tests for Structured Rank Correlation Matrices
- A Bayesian approach to modeling multivariate multilevel insurance claims in the presence of unsettled claims
- Estimation and inference in factor copula models with exogenous covariates
Uses Software
This page was built for publication: Rank-based inference tools for copula regression, with property and casualty insurance applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2010890)
