Mixture copulas and insurance applications
Details
Serval ID
serval:BIB_6B4CBC85BB0B
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Mixture copulas and insurance applications
Journal
Annals of Actuarial Science
ISSN
1748-4995
1748-5002
1748-5002
Publication state
Published
Issued date
09/2018
Peer-reviewed
Oui
Volume
12
Number
02
Pages
391-411
Language
english
Abstract
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.
Create date
01/05/2018 10:05
Last modification date
20/08/2019 14:25