Statistical models and methods for dependence in insurance data
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Publication:458105
DOI10.1016/J.JKSS.2011.03.005zbMATH Open1296.62205OpenAlexW1984522550WikidataQ59278113 ScholiaQ59278113MaRDI QIDQ458105FDOQ458105
Authors: Stephan Haug, Claudia Klüppelberg, Liang Peng 
Publication date: 30 September 2014
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: http://mediatum.ub.tum.de/doc/1079270/document.pdf
Recommendations
copulahypothesis testingrisk estimationinterval estimationtail copulamultivariate statisticspoint estimationdependence modelingtail dependence coefficientextreme dependenceextreme riskextreme value copulainference for copulasrisk modeling
Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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Cited In (32)
- A note on tail dependence regression
- Quantifying the risk using copulae with nonparametric marginals
- Extreme dependence of multivariate catastrophic losses
- Modeling of censored bivariate extremal events
- Copula density estimation by total variation penalized likelihood with linear equality constraints
- Assessment of dependent risk using extreme value theory in a time-varying framework
- Modified Gaussian pseudo-copula: applications in insurance and finance
- Dependence modeling in non-life insurance using the Bernstein copula
- Baker-Lin-Huang type bivariate distributions based on order statistics
- Tail negative dependence and its applications for aggregate loss modeling
- Estimating the probability of a rare event via elliptical copulas
- Testing extreme value copulas to estimate the quantile
- Jackknife empirical likelihood for parametric copulas
- Global loss diversification in the insurance sector
- On multivariate countermonotonic copulas and their actuarial application
- On uniform tail expansions of multivariate copulas and wide convergence of measures
- Assessing high-risk scenarios by full-range tail dependence copulas
- On the worst and least possible asymptotic dependence
- Copula approaches for modeling cross-sectional dependence of data breach losses
- Using B-splines for nonparametric inference on bivariate extreme-value copulas
- Mathematical modelling for claim severities using normal and \(t\) copulas
- Title not available (Why is that?)
- Dependent Insurance Risk Model: Deterministic Threshold
- On some new dependence models derived from multivariate collective models in insurance applications
- Interval estimation for a measure of tail dependence
- Extremes and products of multivariate AC-product risks
- Behaviour of multivariate tail dependence coefficients
- A generalized beta copula with applications in modeling multivariate long-tailed data
- Robust statistical modeling using the Birnbaum‐Saunders‐t distribution applied to insurance
- Risk modeling for future cash flow using skew \(t\)-copula
- Multivariate extreme value theory and its usefulness in understanding risk
- Copulas: Tales and facts (with discussion)
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