Related papers: A two-component copula with links to insurance
In this work, we consider extensions of the dual risk model with proportional gains by introducing a dependence structure between gain sizes and gain interrarrival times. Among others, we further consider the case where the proportional…
Consider two different portfolios which have claims triggered by the same events. Their corresponding collective model over a fixed time period is given in terms of individual claim sizes $(X_i,Y_i), i\ge 1$ and a claim counting random…
Regression analysis is one of the most popularly used statistical technique which only measures the direct effect of independent variables on dependent variable. Path analysis looks for both direct and indirect effects of independent…
Cardiovascular diseases are major causes of mortality globally. They often co-occur and are interrelated, leading to partial-order relationships among their onset times. However, these onset times are subject to informative censoring due to…
In this paper, we analyze the relative errors in various reliability measures due to the tacit assumption that the components associated with a $n$-component series system or a parallel system are independently working where the components…
A framework named Copula Component Analysis (CCA) for blind source separation is proposed as a generalization of Independent Component Analysis (ICA). It differs from ICA which assumes independence of sources that the underlying components…
We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from…
We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional…
The estimation of dependencies between multiple variables is a central problem in the analysis of financial time series. A common approach is to express these dependencies in terms of a copula function. Typically the copula function is…
Conditional copulas are flexible statistical tools that couple joint conditional and marginal conditional distributions. In a linear regression setting with more than one covariate and two dependent outcomes, we propose the use of additive…
Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of Heirarchical Bayesian…
Two-part models and Tweedie generalized linear models (GLMs) have been used to model loss costs for short-term insurance contract. For most portfolios of insurance claims, there is typically a large proportion of zero claims that leads to…
Dependence strucuture estimation is one of the important problems in machine learning domain and has many applications in different scientific areas. In this paper, a theoretical framework for such estimation based on copula and copula…
This paper is part of the research on the interlinkages between insurers and their contribution to systemic risk on the insurance market. Its main purpose is to present the results of the analysis of linkage dynamics and systemic risk in…
Missing observations are pervasive throughout empirical research, especially in the social sciences. Despite multiple approaches to dealing adequately with missing data, many scholars still fail to address this vital issue. In this paper,…
Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertainty when available data and information are limited. We…
Any multivariate distribution can be uniquely decomposed into marginal (1-point) distributions, and a function called the copula, which contains all of the information on correlations between the distributions. The copula provides an…
This study focuses on the inventory pooling problem under the newsvendor framework. The specific focus is the change in inventory levels when product inventories are pooled. We provide analytical conditions under which an increase (or…
This paper proposes a variance-based measure of importance for coherent systems with dependent and heterogeneous components. The particular cases of independent components and homogeneous components are also considered. We model the…
The aim of this article is to analyze data from multiple repairable systems under the presence of dependent competing risks. In order to model this dependence structure, we adopted the well-known shared frailty model. This model provides a…