A two-component copula with links to insurance

• Autorzy: S. Ismail , G. Yu , G. Reinert , T. Maynard
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

copula; two-component model; insurance

Kategorie tematyczne

• 62P05: Applications to actuarial sciences and financial mathematics
• 62H05: Characterization and structure theory

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2017
• Tom: 5
• Numer: 1
• Strony: 295-303

Daty

wydano

2017-12-20

otrzymano

2017-09-22

zaakceptowano

2017-11-15

online

2017-12-22

Twórcy

autor

S. Ismail

• OX1 3TG,

autor

G. Yu

• ,

autor

G. Reinert

• OX1 3TG,

autor

T. Maynard

• ,

Identyfikatory

DOI

10.1515/demo-2017-0017