| Autor: |
Farkas, Sébastien, Lopez, Olivier |
| Předmět: |
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| Zdroj: |
Scandinavian Actuarial Journal; Dec2024, Vol. 2024 Issue 10, p1065-1092, 28p |
| Abstrakt: |
In this paper, we develop a conditional copula model to analyze the distribution of a claim that generates different types of costs and/or simultaneously impacts several guarantees. Our methodology is adapted to taking into account the particular structure of our data, since observations are subject to right-censoring. Right-censoring occurs since payment of a claim is not made instantaneously, and therefore unsettled claims only provide a partial information on the phenomenon that one wishes to model. The new methodology that we develop is supported by theoretical results that show the asymptotic normality of our estimators. A simulation study and a real data analysis illustrate the method. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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