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Bivariate Archimedean copula models for censored data in non-life insurance

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Denuit, Michel [UCL] Van Keilegom, Ingrid [UCL] Purcaru, Oana [UCL]

We describe a methodology based on archimedean copulas for analyzing nonlife insurance data with censoring present. Specifically, we propose a graphical selection procedure for the nonparametric estimation of the generator. An actual loss-ALAE date set is used for the numerical illustrations and for comparisons of our approach to a few others.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 2006
Language Anglais
Journal information "Journal of Actuarial Practice" - Vol. 13, p. 5-32 (2006)
Peer reviewed yes
Publisher Absalom Press, Inc. ((United States) Lincoln)
issn 1064-6647
Publication status Publié
Affiliations Louvain School of Management
UCL - EUEN/STAT - Institut de statistique
Links
Bibliographic reference Denuit, Michel ; Van Keilegom, Ingrid ; Purcaru, Oana. Bivariate Archimedean copula models for censored data in non-life insurance. In: Journal of Actuarial Practice, Vol. 13, p. 5-32 (2006)
Permanent URL http://hdl.handle.net/2078/17223