Mixture copulas and insurance applications

Détails

ID Serval
serval:BIB_6B4CBC85BB0B
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Mixture copulas and insurance applications
Périodique
Annals of Actuarial Science
Auteur⸱e⸱s
Tamraz Maissa
ISSN
1748-4995
1748-5002
Statut éditorial
Publié
Date de publication
09/2018
Peer-reviewed
Oui
Volume
12
Numéro
02
Pages
391-411
Langue
anglais
Résumé
In the classical collective model over a fixed time period of two insurance portfolios, we are interested, in this contribution, in the models that relate to the joint distribution F of the largest claim amounts observed in both insurance portfolios. Specifically, we consider the tractable model where the claim counting random variable N follows a discrete-stable distribution with parameters (α,λ). We investigate the dependence property of F with respect to both parameters α and λ. Furthermore, we present several applications of the new model to concrete insurance data sets and assess the fit of our new model with respect to other models already considered in some recent contributions. We can see that our model performs well with respect to most data sets.
Création de la notice
01/05/2018 10:05
Dernière modification de la notice
20/08/2019 14:25
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