Modelling and simulation of dependence structures in nonlife insurance with Bernstein copulas
Methodology
2020-10-30 v1 Risk Management
Abstract
In this paper we review Bernstein and grid-type copulas for arbitrary dimensions and general grid resolutions in connection with discrete random vectors possessing uniform margins. We further suggest a pragmatic way to fit the dependence structure of multivariate data to Bernstein copulas via grid-type copulas and empirical contingency tables. Finally, we discuss a Monte Carlo study for the simulation and PML estimation for aggregate dependent losses form observed windstorm and flooding data.
Keywords
Cite
@article{arxiv.2010.15709,
title = {Modelling and simulation of dependence structures in nonlife insurance with Bernstein copulas},
author = {Dietmar Pfeifer and Doreen Strassburger and Joerg Philipps},
journal= {arXiv preprint arXiv:2010.15709},
year = {2020}
}
Comments
paper presented on the International ASTIN Colloquium 2009, Helsinki