Artikel
Application of a vine copula for multi-line insurance reserving
This article introduces a novel use of the vine copula which captures dependence among multi-line claim triangles, especially when an insurance portfolio consists of more than two lines of business. First, we suggest a way to choose an optimal joint loss development model for multiple lines of business that considers marginal distribution, vine copula structure, and choice of family for each pair of copulas. The performance of the model is also demonstrated with Bayesian model diagnostics and out-of-sample validation measures. Finally, we provide an implication of the dependence modeling, which allows a company to analyze and establish the risk capital for whole portfolio.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 4 ; Pages: 1-23 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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Bayesian inference
model selection
multi-line reserving
property and casualty insurance
vine copula
- Event
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Geistige Schöpfung
- (who)
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Jeong, Himchan
Dey, Dipak
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2020
- DOI
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doi:10.3390/risks8040111
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Jeong, Himchan
- Dey, Dipak
- MDPI
Time of origin
- 2020
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Estimating standard errors and efficient goodness-of-fit tests for regular vine copula models
Enhancing Flight Safety through Data-Driven Uncertainty Quantification with Vine Copula Models in Aviation
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Dependence risk analysis in energy, agricultural and precious metals commodities: A pair vine copula approach
Advances in Dependence Modeling: Multivariate Quantiles, Copula Level Curve Lengths, and Non-Simplified Vine Copulas
Development of Vine Copula based Drought Indices and Model Evaluation under the Presence of Non-Stationarity
Nonparametric estimation in simplified vine copula models
D-vine copula based quantile regression and the simplifying assumption for vine copulas
Regime switching vine copula models for global equity and volatility indices
Dependence modeling using vine copulas in insurance
Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression
Stress testing German industry sectors: Results from a vine copula based quantile regression
Estimating standard errors and efficient goodness-of-fit tests for regular vine copula models
Enhancing Flight Safety through Data-Driven Uncertainty Quantification with Vine Copula Models in Aviation
Estimating standard errors and efficient goodness-of-fit tests for regular vine copula models
Dependence risk analysis in energy, agricultural and precious metals commodities: A pair vine copula approach
Advances in Dependence Modeling: Multivariate Quantiles, Copula Level Curve Lengths, and Non-Simplified Vine Copulas