Insurance and copulas: an application to indemnity claims

MICOCCI, MARCO;MASALA, GIOVANNI BATISTA
2009-01-01

Abstract

After having described the mathematical background of copula functions we propose a scheme useful to apply a particular family of copulas - the Archimedean copulas - to indemnity payments and loss expenses of an insurance company with the aim of obtaining their joint probability distribution. The joint distribution is used to calculate - via Monte Carlo simulation -the premia of a reinsurance strategy in presence of policy limits and insurer's retentions. Results coming from this strategy are compared with those obtained in independence hypothesis. Calculations and estimates are based on a large dataset of an Italian non life insurance company.
2009
2007
Inglese
INVESTMENT MANAGEMENT
1
16
16
Esperti anonimi
internazionale
scientifica
Copula functions; indemnity claims; reinsurance; stochastic simulation
no
Micocci, Marco; Masala, GIOVANNI BATISTA
1.1 Articolo in rivista
info:eu-repo/semantics/article
1 Contributo su Rivista::1.1 Articolo in rivista
262
2
reserved
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