A two-component copula with links to insurance
S. Ismail; G. Yu; G. Reinert; T. Maynard
Dependence Modeling (2017)
- Volume: 5, Issue: 1, page 295-303
- ISSN: 2300-2298
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topS. Ismail, et al. "A two-component copula with links to insurance." Dependence Modeling 5.1 (2017): 295-303. <http://eudml.org/doc/288460>.
@article{S2017,
abstract = {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.},
author = {S. Ismail, G. Yu, G. Reinert, T. Maynard},
journal = {Dependence Modeling},
keywords = {copula; two-component model; insurance},
language = {eng},
number = {1},
pages = {295-303},
title = {A two-component copula with links to insurance},
url = {http://eudml.org/doc/288460},
volume = {5},
year = {2017},
}
TY - JOUR
AU - S. Ismail
AU - G. Yu
AU - G. Reinert
AU - T. Maynard
TI - A two-component copula with links to insurance
JO - Dependence Modeling
PY - 2017
VL - 5
IS - 1
SP - 295
EP - 303
AB - 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.
LA - eng
KW - copula; two-component model; insurance
UR - http://eudml.org/doc/288460
ER -
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