Article: article from journal or magazin.
On some new dependence models derived from multivariate collective models in insurance applications
Scandinavian Actuarial Journal
Consider two different portfolios which have claims triggered by the same events. Their corresponding collective model over a fixed time period is given in terms of individual claim sizes and a claim counting random variable N. In this paper, we are concerned with the joint distribution function (df) F of the largest claim sizes . By allowing N to depend on some parameter, say , then is for various choices of N a tractable parametric family of bivariate dfs. We investigate both distributional and extremal properties of . Furthermore, we present several applications of the implied parametric models to some data from the literature and a new data-set from a Swiss insurance company (Data-set can be downloaded here http://dx.doi.org/10.13140/RG.2.1.3082.9203.)
Largest claims, copula, loss and ALAE, max-stable distribution, estimation, parametric family
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