Handling the dependence of claim severities with copula models

DOI10.3844/JMSSP.2010.136.142MaRDI QIDQ3583083zbMATH OpenOpenAlexFDO

Authors Y. Resti, N. Ismail, S. H. Jaaman

Publication date 26 August 2010

Published in Journal of Mathematics and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL http://www.scipub.org/scipub/ab_issue.php?pg_no=136-142&j_id=jms2&art_no=291&issue_no=23

zbMATH Keywords

copuladependenceclaim severityclaim types

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(14)

• Modelling dependence in insurance claims process with Lévy copulas
• An improved copula regression model based on auto insurance data
• Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims
• A note on deficit analysis in dependency models involving Coxian claim amounts
• Modeling dependent yearly claim totals including zero claims in private health insurance
• A censored copula model for micro-level claim reserving
• Maintaining tail dependence in data shuffling using \(t\) copula
• Using copulas for rating weather index insurance contracts
• Mathematical modelling for claim severities using normal and \(t\) copulas
• On copula-based collective risk models: from elliptical copulas to vine copulas
• Semiparametric copula models applied to the decomposition of claim amounts
• Hierarchical insurance claims modeling
• Spatial copula-based modeling of claim frequency and claim size in third-party car insurance: a Poisson-mixed approach for predictive analysis
• Copula models for insurance claim numbers with excess zeros and time-dependence

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