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.File | Size | Format | |
---|---|---|---|
Micocci Masala Articolo IMFI Ins and Cop.pdf Solo gestori archivio
Type: versione pre-print
Size 174.14 kB
Format Adobe PDF
|
174.14 kB | Adobe PDF | & nbsp; View / Open Request a copy |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.