Copula models for estimating outstanding claim provisions

zbMATH Open1144.62346MaRDI QIDQ5455535FDOQ5455535

Authors: Tõnu Kollo, Gaida Pettere 

Publication date: 3 April 2008

Recommendations

• Fitting bivariate loss distributions with copulas
• Stochastic modelling of insurance liabilities
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• A censored copula model for micro-level claim reserving
• Bivariate Archimedean copula models for censored data in non-life insurance

zbMATH Keywords

Archimedean copulaFrank copulaClayton copulaGumbel copulaclaim distributionoutstanding claim provisions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximations to statistical distributions (nonasymptotic) (62E17)

Cited In (8)

• Provisions for Outstanding Claims with Distance-Based Generalized Linear Models
• Applying copula models to individual claim loss reserving methods
• Semiparametric model for prediction of individual claim loss reserving
• A censored copula model for micro-level claim reserving
• Using copulas for rating weather index insurance contracts
• A compound renewal model for medical malpractice insurance
• COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING
• Joint modelling of the total amount and the number of claims by conditionals

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