A two-component copula with links to insurance

Ismail S., Yu G., Reinert G. () and Maynard T.
Additional contact information
Ismail S.: Department of Statistics, 1 South Parks Road, Oxford OX1 3TG, UK
Yu G.: Exposure Management Team, Lloyd’s of London, London, UK
Reinert G.: Department of Statistics, 1 South Parks Road, Oxford OX1 3TG, UK
Maynard T.: Exposure Management Team, Lloyd’s of London, London, UK

Dependence Modeling, 2017, vol. 5, issue 1, 295-303

Abstract: This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of two companies or lines of business are related through a random common loss factor which is then multiplied by an individual random company factor to get the total loss amounts. The new two-component copula is not Archimedean and it extends the toolkit of copulas for the insurance industry.

Keywords: copula; two-component model; insurance (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:5:y:2017:i:1:p:295-303:n:17

DOI: 10.1515/demo-2017-0017

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