Tail negative dependence and its applications for aggregate loss modeling

DOI10.1016/J.INSMATHECO.2015.01.001zbMath1314.91139OpenAlexW2008305541MaRDI QIDQ2347104

Lei Hua

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.01.001

zbMATH Keywords

Archimedean copulascale mixturetail orderloss severityloss frequencyGGS copulaMEPS data

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (10)

Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims ⋮ A general approach to full-range tail dependence copulas ⋮ On a bivariate copula with both upper and lower full-range tail dependence ⋮ A dependent frequency-severity approach to modeling longitudinal insurance claims ⋮ Multivariate dependence modeling based on comonotonic factors ⋮ Some stochastic properties of conditionally dependent frailty models ⋮ Assessing component reliability using lifetime data from systems ⋮ A modified pseudo-copula regression model for risk groups with various dependency levels ⋮ Two-part models for assessing misrepresentation on risk status ⋮ Higher order tail densities of copulas and hidden regular variation

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