Modelling Dependence in Insurance Claims Processes with Lévy Copulas
Author
Abstract
Suggested Citation
Download full text from publisher
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Shah, Anand, 2016. "Pricing and Risk Mitigation Analysis of a Cyber Liability Insurance using Gaussian, t and Gumbel Copulas – A case for Cyber Risk Index," MPRA Paper 111968, University Library of Munich, Germany.
- Avanzi, Benjamin & Taylor, Greg & Wong, Bernard & Yang, Xinda, 2021. "On the modelling of multivariate counts with Cox processes and dependent shot noise intensities," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 9-24.
- J. L. van Velsen, 2012. "Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling," Papers 1212.0092, arXiv.org.
- Vladimir Panov, 2017. "Series Representations for Multivariate Time-Changed Lévy Models," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 97-119, March.
- Nicole Bauerle & Gregor Leimcke, 2021. "Bayesian optimal investment and reinsurance with dependent financial and insurance risks," Papers 2103.05777, arXiv.org.
- Ragnar Levy Gudmundarson & Manuel Guerra & Alexandra Bugalho de Moura, 2021. "Minimizing ruin probability under dependencies for insurance pricing," Papers 2108.10075, arXiv.org.
- Benjamin Avanzi & Gregory Clive Taylor & Bernard Wong & Xinda Yang, 2020. "On the modelling of multivariate counts with Cox processes and dependent shot noise intensities," Papers 2004.11169, arXiv.org, revised Dec 2020.
- Guo, Nan & Wang, Fang & Yang, Jingping, 2017. "Remarks on composite Bernstein copula and its application to credit risk analysis," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 38-48.
- R.L. Gudmundarson & M. Guerra & A. B. de Moura, 2021. "Minimizing Ruin Probability Under Dependencies for Insurance Pricing," Working Papers REM 2021/0193, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:41:y:2011:i:02:p:575-609_00. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.