A generalized beta copula with applications in modeling multivariate long-tailed data

DOI10.1016/j.insmatheco.2011.04.007zbMath1218.62049OpenAlexW1979767026MaRDI QIDQ634014

Zhengjun Zhang, Edward W. Frees, Xipei Yang

Publication date: 2 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.04.007

zbMATH Keywords

copulastail dependenceadditive modellong-tail regressionnon-elliptical asymmetric dependence

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items

On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures ⋮ Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures” ⋮ Bayesian credibility premium with GB2 copulas ⋮ A new class of copula regression models for modelling multivariate heavy-tailed data ⋮ MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION ⋮ Two multivariate generalized beta families ⋮ Earthquake parametric insurance with Bayesian spatial quantile regression ⋮ Insurance ratemaking using a copula-based multivariate Tweedie model ⋮ A Bayesian approach to modeling multivariate multilevel insurance claims in the presence of unsettled claims ⋮ Predictive compound risk models with dependence ⋮ Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure ⋮ Nonparametric Estimation of Copula Regression Models With Discrete Outcomes ⋮ Regression for compositions based on a generalization of the Dirichlet distribution ⋮ Discrimination among bivariate beta-generated distributions ⋮ Weighted risk capital allocations in the presence of systematic risk ⋮ GENERALIZING THE LOG-MOYAL DISTRIBUTION AND REGRESSION MODELS FOR HEAVY-TAILED LOSS DATA ⋮ Multivariate dependence modeling based on comonotonic factors ⋮ Time‐series models with an EGB2 conditional distribution ⋮ A generalized mixed model for skewed distributions applied to small area estimation ⋮ Bayesian analysis of loss reserving using dynamic models with generalized beta distribution ⋮ Valuation of guaranteed unitized participating life insurance under MEGB2 distribution ⋮ Analytic expressions for multivariate Lorenz surfaces ⋮ A Compendium of Copulas ⋮ Tail negative dependence and its applications for aggregate loss modeling

Uses Software

• gamair

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Regression models for positive random variables
• On a multivariate Pareto distribution
• Bivariate extreme statistics. I
• Copula-based regression models: a survey
• Construction of asymmetric multivariate copulas
• Heavy-tailed longitudinal data modeling using copulas
• Residual life time at great age
• Statistical inference using extreme order statistics
• A generalisation of Gumbel's bivariate logistic distribution
• An introduction to copulas. Properties and applications
• Fitting bivariate loss distributions with copulas
• A generalization of the beta distribution with applications
• Note on the multivariate Burr's distribution
• Quotient correlation: a sample based alternative to Pearson's correlation
• A class of multivariate distributions and new copulas
• Dependence estimation and visualization in multivariate extremes with applications to financial data
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• The t Copula and Related Copulas
• Copulas: A Review and Recent Developments
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Bivariate extreme value theory: Models and estimation
• Multivariate Pareto Distributions
• Inference in the Generalized Gamma and Log Gamma Distributions
• A log gamma model and its maximum likelihood estimation
• Discrimination among some parametric models
• Statistical Size Distributions in Economics and Actuarial Sciences
• The behavior of multivariate maxima of moving maxima processes
• Estimates of marginal survival for dependent competing risks based on an assumed copula
• Hierarchical Insurance Claims Modeling
• Understanding Relationships Using Copulas