Rank-Based Multivariate Sarmanov for Modeling Dependence between Loss Reserves
The interdependence between multiple lines of business has an important impact on determining loss reserves and risk capital, which are crucial for the solvency of a property and casualty (P&C) insurance company. In this work, we introduce the two-stage inference method using the Sarmanov family...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-10-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/11/11/187 |