Modelling dependence in insurance claims process with Lévy copulas
type: Item
instance of: scholarly article
zbMATH Open document ID: 1242.91088
DOI: 10.2143/AST.41.2.2136989
author: Benjamin Avanzi
author: Luke C. Cassar
author: Bernard Wong
publication date: 2012-06-11T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 97M30
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6044912
zbMATH Keywords: compound Poisson process
zbMATH Keywords: Lévy copula
zbMATH Keywords: claim process
zbMATH Keywords: dependence
MaRDI profile type: Publication
title: Modelling dependence in insurance claims process with Lévy copulas
published in: ASTIN Bulletin
review text: The authors investigate the potential of Lévy copulas as a tool for modelling dependence between compound Poisson processes. Characteristics are analysed regarding dependence in frequency and dependence in severity allowed by various Lévy copula models. The authors introduce new Lévy copulas, compare them with Clayton Lévy copula and show that Lévy copulas allow for a great range of dependence structures. Procedures for analysing the fit of Lévy copula models are illustrated by fitting a number of Lévy copulas to a set of real data from Swiss workers compensation insurance. A decomposition of trivariate compound Poisson process is provided and ways of modelling dependence by trivariate Lévy copulas are demonstrated.
reviewed by: Pavel Stoynov
description: scientific article; zbMATH DE number 6044912