A two-component copula with links to insurance
Abstract: 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.
- Location
-
Deutsche Nationalbibliothek Frankfurt am Main
- Extent
-
Online-Ressource
- Language
-
Englisch
- Bibliographic citation
-
A two-component copula with links to insurance ; volume:5 ; number:1 ; year:2017 ; pages:295-303 ; extent:9
Dependence modeling ; 5, Heft 1 (2017), 295-303 (gesamt 9)
- Creator
-
Ismail, S.
Yu, G.
Reinert, G.
Maynard, T.
- DOI
-
10.1515/demo-2017-0017
- URN
-
urn:nbn:de:101:1-2411181553414.863757019184
- Rights
-
Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
-
15.08.2025, 7:27 AM CEST
Data provider
This object is provided by:
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Ismail, S.
- Yu, G.
- Reinert, G.
- Maynard, T.
Other Objects (12)
Two-component dark matter
Immigration and two-component unemployment
Scale-invariant two-component dark matter
Two-component model for tracer simulation
Dipeptide Synthesis by Two-Component Organocatalysis
Two-component link maps in manifolds
Gas injection and two-component injection moulding
Two-component polyurethane systems : innovative processing methods
Two-component generalizations of the Novikov equation
Two-component self-gravitating isothermal slab models
Baby skyrmion in two-component holographic superfluids
Truth, topicality, and transparency: one-component versus two-component semantics
Two-component dark matter
Immigration and two-component unemployment
Scale-invariant two-component dark matter
Two-component model for tracer simulation
Dipeptide Synthesis by Two-Component Organocatalysis
Two-component link maps in manifolds
Gas injection and two-component injection moulding
Two-component polyurethane systems : innovative processing methods
Two-component generalizations of the Novikov equation
Two-component self-gravitating isothermal slab models
Baby skyrmion in two-component holographic superfluids
Truth, topicality, and transparency: one-component versus two-component semantics
Two-component dark matter
Immigration and two-component unemployment
Scale-invariant two-component dark matter
Two-component model for tracer simulation
Dipeptide Synthesis by Two-Component Organocatalysis
Two-component link maps in manifolds
Gas injection and two-component injection moulding
Two-component polyurethane systems : innovative processing methods
Two-component generalizations of the Novikov equation
Two-component self-gravitating isothermal slab models
Baby skyrmion in two-component holographic superfluids