Total loss estimation using copula-based regression models
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Publication:2015655
DOI10.1016/J.INSMATHECO.2013.09.003zbMATH Open1290.91092arXiv1209.5356OpenAlexW2141088203MaRDI QIDQ2015655FDOQ2015655
Daniel Silvestrini, Nicole Krämer, Eike Christian Brechmann, Claudia Czado
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1209.5356
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (28)
- Copula based Bayesian data analysis of loss reserving
- Knowledge Learning of Insurance Risks Using Dependence Models
- 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
- 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
- Generalised linear models for aggregate claims: to Tweedie or not?
- TERRITORIAL RISK CLASSIFICATION USING SPATIALLY DEPENDENT FREQUENCY-SEVERITY MODELS
- 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
- Joint discrete and continuous matrix distribution modeling
- Dependence modeling of frequency-severity of insurance claims using waiting time
- Mixed binary-continuous copula regression models with application to adverse birth outcomes
- Collective risk models with dependence
- Modeling Malicious Hacking Data Breach Risks
- Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims
- A copula-based hierarchical hybrid loss distribution
- On copula-based collective risk models: from elliptical copulas to vine copulas
- Frequency-severity experience rating based on latent Markovian risk profiles
- Dependent frequency-severity modeling of insurance claims
- Multivariate modeling of precipitation-induced home insurance risks using data depth
- A modified pseudo-copula regression model for risk groups with various dependency levels
- Bivariate copula additive models for location, scale and shape
Uses Software
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