Handling the Dependence of Claim Severities with Copula Models

DOI10.3844/JMSSP.2010.136.142zbMath1375.91106OpenAlexW2075465494MaRDI QIDQ3583083

Saiful Hafizah Jaaman, Noriszura Ismail, Yulia Resti

Publication date: 26 August 2010

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

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

Related Items (1)

Maintaining tail dependence in data shuffling using \(t\) copula

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