On some new dependence models derived from multivariate collective models in insurance applications
DOI10.1080/03461238.2016.1243574zbMATH Open1402.91198OpenAlexW2534373889MaRDI QIDQ4577202FDOQ4577202
Authors: Gildas Ratovomirija, Maissa Tamraz, Enkelejd Hashorva 
Publication date: 17 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://serval.unil.ch/resource/serval:BIB_1992185C07A9.P001/REF.pdf
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Cites Work
- An introduction to copulas. Properties and applications
- Comparison of semiparametric and parametric methods for estimating copulas
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Convex geometry of max-stable distributions
- Bivariate Survival Models Induced by Frailties
- Extreme value copula estimation based on block maxima of a multivariate stationary time series
- Bivariate Archimedean copula models for censored data in non-life insurance
- Heavy tailed time series with extremal independence
- Asymptotics of Markov kernels and the tail chain
- Statistical models and methods for dependence in insurance data
- A new class of copulas involved geometric distribution: estimation and applications
- Max-stable processes and the functional \(D\)-norm revisited
- Extremes of conditioned elliptical random vectors
- Asymptotic results for conditional measures of association of a random sum
- Joint tail of ECOMOR and LCR reinsurance treaties
Cited In (9)
- Extreme dependence of multivariate catastrophic losses
- Signs of dependence and heavy tails in non-life insurance data
- Nonparametric inference for distortion risk measures on tail regions
- A multi-year microlevel collective risk model
- Fitting and validation of a bivariate model for large claims
- FFT, extreme value theory and simulation to model non-life insurance claims dependences
- A new class of copula regression models for modelling multivariate heavy-tailed data
- On copula-based collective risk models: from elliptical copulas to vine copulas
- Modeling of claim exceedances over random thresholds for related insurance portfolios
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