Fitting bivariate loss distributions with copulas

被引：120

作者：

Klugman, SA ^{[1
]}

Parsa, R ^{[1
]}

机构：

[1] Drake Univ, Des Moines, IA 50311 USA

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1999年 / 24卷 / 1-2期

关键词：

bivariate copula; goodness-of-fit;

D O I：

10.1016/S0167-6687(98)00039-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Various processes in casualty insurance involve correlated pairs of variables. A prominent example is the loss and allocated loss adjustment expenses on a single claim. In this paper the bivariate copula is introduced and an approach to conducting goodness-of-fit tests is suggested. A large example illustrates the concepts. (C) 1999 Elsevier Science B.V. All rights reserved.

引用

页码：139 / 148

页数：10

共 6 条

[1]

[Anonymous], 1994, T SOC ACTUARIES

[2] Testing independence in bivariate distributions of claim frequencies and severities [J].