Wyniki wyszukiwania

Wyszukiwano:
w słowach kluczowych: two-component model

Sortuj według:

Ogranicz wyniki do:

A two-component copula with links to insurance

100%

Ismail S., Yu G., Reinert G., Maynard T.

Dependence Modeling

2017

tom 5

nr 1

295-303

This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of two companies or lines of business are related through a random common loss factor which is then multiplied by an individual random company factor to get the total loss amounts. The new two-component copula is not Archimedean and it extends the toolkit of copulas for the insurance industry.

Ograniczanie wyników

1 Dependence Modeling

1 Ismail S.

1 Maynard T.

1 Reinert G.

1 Yu G.

1 2017

Wyniki wyszukiwania

A two-component copula with links to insurance