Modelling and simulation of dependence structures in nonlife insurance with Bernstein copulas

Dietmar Pfeifer, Doreen Strassburger and Joerg Philipps

Papers from arXiv.org

Abstract: In this paper we review Bernstein and grid-type copulas for arbitrary dimensions and general grid resolutions in connection with discrete random vectors possessing uniform margins. We further suggest a pragmatic way to fit the dependence structure of multivariate data to Bernstein copulas via grid-type copulas and empirical contingency tables. Finally, we discuss a Monte Carlo study for the simulation and PML estimation for aggregate dependent losses form observed windstorm and flooding data.

Date: 2020-10
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-ias
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2010.15709 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2010.15709

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().