Signs of dependence and heavy tails in non-life insurance data

DOI10.1080/03461238.2015.1017527zbMath1401.91090arXiv1501.00833OpenAlexW2012139435MaRDI QIDQ4575381

Jonas Alm

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.00833

zbMATH Keywords

Solvency IIrisk aggregationdependence modellingsolvency capital requirement

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles ⋮ Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals

Uses Software

• ismev

Cites Work

• Unnamed Item
• Unnamed Item
• Dependence modeling in non-life insurance using the Bernstein copula
• Modeling accounting year dependence in runoff triangles
• Risk aggregation with dependence uncertainty
• Robust Tests for the Equality of Variances
• An introduction to statistical modeling of extreme values

This page was built for publication: Signs of dependence and heavy tails in non-life insurance data