Dependence modeling in non-life insurance using the Bernstein copula

DOI10.1016/j.insmatheco.2012.02.007zbMath1237.91126OpenAlexW2094331704MaRDI QIDQ414613

Martin Eling, Dorothea Diers, Sebastian D. Marek

Publication date: 11 May 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.02.007

zbMATH Keywords

simulationcopulasgoodness-of-fitBernstein copulanon-life insurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites Work

• Goodness-of-fit tests for copulas: A review and a power study
• Efficiently sampling nested Archimedean copulas
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
• Semiparametric multivariate density estimation for positive data using copulas
• On approximation of copulas
• CDO pricing with nested Archimedean copulas
• Hierarchies of Archimedean copulas
• Nonparametric estimation of copula functions for dependence modelling