AGGREGATE LOSS DISTRIBUTION AND DEPENDENCE: COMPOSITE MODELS, COPULA FUNCTIONS AND FAST FOURIER TRANSFORM FOR THE DANISH RE INSURANCE DATA

Rocco Roberto Cerchiara () and Francesco Acri ()
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Francesco Acri: Dipartimento di Economia, Statistica e Finanza, Università della Calabria

No 201608, Working Papers from Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF

Abstract: Danish fire insurance data has been analyzed in several papers, using different models. In this paper we investigate the improving of the fitting for the Danish fire insurance data according to composite models, including dependence structure by copula functions and Fast Fourier Transform.

Keywords: Composite models; Copula; Fast Fourier Transform (search for similar items in EconPapers)
JEL-codes: C10 C63 C65 G22 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2016-09
New Economics Papers: this item is included in nep-ias
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Citations: View citations in EconPapers (1)

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http://www.ecostat.unical.it/RePEc/WorkingPapers/WP08_2016.pdf First version, 2016-09 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:clb:wpaper:201608

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