- Title: On dependence modelling of insurance claims
- Abstract: This research project concerns a comparison between different approaches to modelling dependent stochastic variables which are common in financial and actuarial applications. The main work involves investigating the difference between modelling insurance claims using multivariate credibility and copulas both from practical and theoretical point of view. Direct applications include insurance pricing where claims information related to multiple insurance coverages of a specific customer (e.g. car, boat, house, etc.) can be allowed to influence on each other. In such situations the claims dependence between coverage is crucial and an efficient method for modelling this dependence is of great interest for an insurance company. A similar problem also arises in banking where customers can have different loss inducing behaviour in correlated products such as mortgage loans, credit cards and other (potentially loss making) credit instruments. To carry out the project the student(s) should have knowledge equivalent to the course on "Statistical modelling of Multivariate Extremes"; see the home page of the course for more information: http://www.maths.lth.se/matstat/kurser/fmsn15masm23/.
- Start Date: Oct. 18, 2012
- Supervisor: Nader Tajvidi
- Student: Madeleine Hage
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Last update: 2013-04-11
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