On some new dependence models derived from multivariate collective models in insurance applications
On some new dependence models derived from multivariate collective models in insurance applications
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DOI：
10.1080/03461238.2016.1243574
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发表时间：
2016-03
影响因子：
1.8
通讯作者：
E. Hashorva;Gildas Ratovomirija;Maissa Tamraz
中科院分区：
文献类型：
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作者：
E. Hashorva;Gildas Ratovomirija;Maissa Tamraz
考虑两个不同的投资组合，它们的索赔由相同的事件触发。在固定时间段内，它们对应的集体模型以个体索赔规模和索赔计数随机变量n的形式给出。在本文中，我们关注最大索赔规模的联合分布函数（df） F。通过允许N依赖于某些参数，例如，对于N的各种选择，则是一个可处理的二元dfs参数族。的分布性质和极值性质。此外，我们还介绍了隐含参数模型在一些文献数据和瑞士保险公司新数据集上的几种应用（数据集可以在这里下载http://dx.doi.org/10.13140/RG.2.1.3082.9203）。
Consider two different portfolios which have claims triggered by the same events. Their corresponding collective model over a fixed time period is given in terms of individual claim sizes and a claim counting random variable N. In this paper, we are concerned with the joint distribution function (df) F of the largest claim sizes . By allowing N to depend on some parameter, say , then is for various choices of N a tractable parametric family of bivariate dfs. We investigate both distributional and extremal properties of . Furthermore, we present several applications of the implied parametric models to some data from the literature and a new data-set from a Swiss insurance company (Data-set can be downloaded here http://dx.doi.org/10.13140/RG.2.1.3082.9203.)