Add to ORKGThe aim of this work is to analyze the dependence structure between losses and ALAE’s relating to large claims using extreme value copulas. A procedure to select and estimate the copula based on a parametric estimation of the dependence function is proposed. An application to the evaluation of reinsurance premiums is performed in group medical insurance. This work clearly enhances the relevance of the copula-based approach to model claim amounts and their associated ALAE’s
Statistical models with parsimonious dependence are useful for high-dimensional modelling as they of...
In this paper we provide a review of copula theory with applications to finance. We illustrate the i...
Modeling the dependence between risks is crucial for the computation of the economic capital and the...
Considerable focus in the world of insurance risk quantification is placed on modeling loss values f...
An insurer's ability to accurately estimate the accumulation of risk, particularly in the right hand...
Understanding and quantifying dependence is at the core of all modelling efforts in the areas of ins...
After having described the mathematical background of copula functions we propose a scheme useful to...
In this thesis we model extreme log-returns on economic variables and apply this to Ortec Finance's ...
© 2019 Walter de Gruyter GmbH, Berlin/Boston. This paper investigates dependence among insurance cla...
Modelling the outstanding claims amount is critical to loss reserving for property-casualty insurers...
This thesis presents the concept of tail dependence in a financial context as one tool to measure de...
Modelling one-dimensional data can be performed by different wellknown ways. Modelling two-dimension...
We have seen extreme value copulas in the section where we did consider general families of copulas....
Random effects models are of particular importance in modeling heterogeneity. A commonly used random...
This article considers the bivariate generalized extreme value (BGEV) distribution and the bivariate...
Statistical models with parsimonious dependence are useful for high-dimensional modelling as they of...
In this paper we provide a review of copula theory with applications to finance. We illustrate the i...
Modeling the dependence between risks is crucial for the computation of the economic capital and the...
Considerable focus in the world of insurance risk quantification is placed on modeling loss values f...
An insurer's ability to accurately estimate the accumulation of risk, particularly in the right hand...
Understanding and quantifying dependence is at the core of all modelling efforts in the areas of ins...
After having described the mathematical background of copula functions we propose a scheme useful to...
In this thesis we model extreme log-returns on economic variables and apply this to Ortec Finance's ...
© 2019 Walter de Gruyter GmbH, Berlin/Boston. This paper investigates dependence among insurance cla...
Modelling the outstanding claims amount is critical to loss reserving for property-casualty insurers...
This thesis presents the concept of tail dependence in a financial context as one tool to measure de...
Modelling one-dimensional data can be performed by different wellknown ways. Modelling two-dimension...
We have seen extreme value copulas in the section where we did consider general families of copulas....
Random effects models are of particular importance in modeling heterogeneity. A commonly used random...
This article considers the bivariate generalized extreme value (BGEV) distribution and the bivariate...
Statistical models with parsimonious dependence are useful for high-dimensional modelling as they of...
In this paper we provide a review of copula theory with applications to finance. We illustrate the i...
Modeling the dependence between risks is crucial for the computation of the economic capital and the...