A two-component copula with links to insurance
This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of two companies or lines of business are related through a rand...
| Main Authors: | , , , |
|---|---|
| Formato: | Journal article |
| Publicado: |
De Gruyter Open
2017
|
| _version_ | 1826293437525131264 |
|---|---|
| author | Ismail, S Yu, G Reinert, G Maynard, T |
| author_facet | Ismail, S Yu, G Reinert, G Maynard, T |
| author_sort | Ismail, S |
| collection | OXFORD |
| description | This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of two companies or lines of business are related through a random common loss factor which is then multiplied by an individual random company factor to get the total loss amounts. The new two-component copula is not Archimedean and it extends the toolkit of copulas for the insurance industry. |
| first_indexed | 2024-03-07T03:30:05Z |
| format | Journal article |
| id | oxford-uuid:ba698a6c-ef30-4990-b461-068ee5a67caf |
| institution | University of Oxford |
| last_indexed | 2024-03-07T03:30:05Z |
| publishDate | 2017 |
| publisher | De Gruyter Open |
| record_format | dspace |
| spelling | oxford-uuid:ba698a6c-ef30-4990-b461-068ee5a67caf2022-03-27T05:09:41ZA two-component copula with links to insuranceJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:ba698a6c-ef30-4990-b461-068ee5a67cafSymplectic Elements at OxfordDe Gruyter Open2017Ismail, SYu, GReinert, GMaynard, TThis paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of two companies or lines of business are related through a random common loss factor which is then multiplied by an individual random company factor to get the total loss amounts. The new two-component copula is not Archimedean and it extends the toolkit of copulas for the insurance industry. |
| spellingShingle | Ismail, S Yu, G Reinert, G Maynard, T A two-component copula with links to insurance |
| title | A two-component copula with links to insurance |
| title_full | A two-component copula with links to insurance |
| title_fullStr | A two-component copula with links to insurance |
| title_full_unstemmed | A two-component copula with links to insurance |
| title_short | A two-component copula with links to insurance |
| title_sort | two component copula with links to insurance |
| work_keys_str_mv | AT ismails atwocomponentcopulawithlinkstoinsurance AT yug atwocomponentcopulawithlinkstoinsurance AT reinertg atwocomponentcopulawithlinkstoinsurance AT maynardt atwocomponentcopulawithlinkstoinsurance AT ismails twocomponentcopulawithlinkstoinsurance AT yug twocomponentcopulawithlinkstoinsurance AT reinertg twocomponentcopulawithlinkstoinsurance AT maynardt twocomponentcopulawithlinkstoinsurance |