Related papers: A two-component copula with links to insurance
In this paper we provide evidence that financial option markets for equity indices give rise to non-trivial dependency structures between its constituents. Thus, if the individual constituent distributions of an equity index are inferred…
Cylindrical data frequently arise across various scientific disciplines, including meteorology (e.g., wind direction and speed), oceanography (e.g., marine current direction and speed or wave heights), ecology (e.g., telemetry), and…
We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to $n$ insurers whose claims follow compound Poisson processes representing both idiosyncratic and systemic sources of loss. As the…
Copulas are essential tools in statistics and probability theory, enabling the study of the dependence structure between random variables independently of their marginal distributions. Among the various types of copulas, Ratio-Type Copulas…
Modern datasets commonly feature both substantial missingness and many variables of mixed data types, which present significant challenges for estimation and inference. Complete case analysis, which proceeds using only the observations with…
One of the main goals in non-life insurance is to estimate the claims reserve distribution. A generalized time series model, that allows for modeling the conditional mean and variance of the claim amounts, is proposed for the claims…
Loss development modelling is the actuarial practice of predicting the total 'ultimate' losses incurred on a set of policies once all claims are reported and settled. This poses a challenging prediction task as losses frequently take years…
The authors propose new additive models for binary outcomes, where the components are copula-based regression models (Noh et al, 2013), and designed such that the model may capture potentially complex interaction effects. The models do not…
This paper addresses the identification of insurance models with multidimensional screening where insurees have private information about their risk and risk aversion. The model includes a random damage and the possibility of several…
We introduce a novel perspective by linking ordered probabilistic choice to copula theory, a mathematical framework for modeling dependencies in multivariate distributions. Each representation of ordered probabilistic choice behavior can be…
Modeling of high order multivariate probability distribution is a difficult problem which occurs in many fields. Copula approach is a good choice for this purpose, but the curse of dimensionality still remains a problem. In this paper we…
We are studying the problems of modeling and inference for multivariate count time series data with Poisson marginals. The focus is on linear and log-linear models. For studying the properties of such processes we develop a novel conceptual…
This work considers stochastic comparisons of lifetimes of series and parallel systems with dependent and heterogeneous components having lifetimes following the proportional odds (PO) model. The joint distribution of component lifetimes is…
Learning the joint dependence of discrete variables is a fundamental problem in machine learning, with many applications including prediction, clustering and dimensionality reduction. More recently, the framework of copula modeling has…
Our goal in this paper is to propose an alternative risk measure which takes into account the fluctuations of losses and possible correlations between random variables. This new notion of risk measures, that we call Copula Conditional Tail…
Dependence modeling of multivariate count data has garnered significant attention in recent years. Multivariate elliptical copulas are typically preferred in statistical literature to analyze dependence between repeated measurements of…
A frequent task in exploratory data analysis consists in examining pairwise dependencies between data variables. Popular approaches include visualizing correlation or scatter plot matrices. However, both methods can be misleading. The…
In medical studies, it is common the presence of a fraction of patients who do not experience the event of interest. These patients are people who are not at risk of the event or are patients who were cured during the research. The…
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…
In this work we are interested in identifying clusters of "positional equivalent" actors, i.e. actors who play a similar role in a system. In particular, we analyze weighted bipartite networks that describes the relationships between actors…