Analysis of bivariate tail dependence using extreme value copulas: an application to the SOA medical large claims database
(2003) Belgian Actuarial Bulletin — Vol. 3, p. 33-41 (2003)
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- Authors
- Abstract
- The aim of this work is to analyze the dependence structure between losses and ALAE’s relating to large claims using extreme value copulas. A procedure to select and estimate the copula based on a parametric estimation of the dependence function is proposed. An application to the evaluation of reinsurance premiums is performed in group medical insurance. This work clearly enhances the relevance of the copula-based approach to model claim amounts and their associated ALAE’s.
- Affiliations
Louvain School of Management
Citations
Cebrian Ana, C., Denuit, M., & Lambert, P. (2003). Analysis of bivariate tail dependence using extreme value copulas: an application to the SOA medical large claims database. Belgian Actuarial Bulletin, 3, 33-41. https://hdl.handle.net/2078.5/72404 (Original work published 2003)