Total loss estimation using copula-based regression models
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Abstract: We present a joint copula-based model for insurance claims and sizes. It uses bivariate copulae to accommodate for the dependence between these quantities. We derive the general distribution of the policy loss without the restrictive assumption of independence. We illustrate that this distribution tends to be skewed and multi-modal, and that an independence assumption can lead to substantial bias in the estimation of the policy loss. Further, we extend our framework to regression models by combining marginal generalized linear models with a copula. We show that this approach leads to a flexible class of models, and that the parameters can be estimated efficiently using maximum-likelihood. We propose a test procedure for the selection of the optimal copula family. The usefulness of our approach is illustrated in a simulation study and in an analysis of car insurance policies.
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Cited in
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- Knowledge Learning of Insurance Risks Using Dependence Models
- Copula based Bayesian data analysis of loss reserving
- A mixed copula model for insurance claims and claim sizes
- Modelling the aggregate loss for insurance claims with dependence
- Fitting bivariate loss distributions with copulas
- Quantile regression via the EM algorithm for joint modeling of mixed discrete and continuous data based on Gaussian copula
- A copula transformation in multivariate mixed discrete-continuous models
- An improved copula regression model based on auto insurance data
- A multi-year microlevel collective risk model
- Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims
- The effectiveness of TARP-CPP on the US banking industry: a new copula-based approach
- Tail negative dependence and its applications for aggregate loss modeling
- Modeling dependent yearly claim totals including zero claims in private health insurance
- Generalised linear models for aggregate claims: to Tweedie or not?
- Bayesian total loss estimation using shared random effects
- A dependent frequency-severity approach to modeling longitudinal insurance claims
- Generalized linear models for dependent frequency and severity of insurance claims
- Dependence modeling of frequency-severity of insurance claims using waiting time
- Collective risk models with dependence
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- A modified pseudo-copula regression model for risk groups with various dependency levels
- Multivariate modeling of precipitation-induced home insurance risks using data depth
- Semiparametric copula models applied to the decomposition of claim amounts
- A copula regression model for estimating firm efficiency in the insurance industry
- Territorial risk classification using spatially dependent frequency-severity models
- Bivariate copula additive models for location, scale and shape
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