- Title: On dependence modelling of insurance claims
- Description: 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/. Litteratur: Multivariate latent risk: A credibility approach Astin Bulletin, 38(1), 137-146. 2008 Englund, M., Guillén, M., Gustafsson, J., Nielsen, L.H. & Nielsen, J.P. Copula credibility for aggregate loss models Insurance: Mathematics and Economics, Volume 38, Issue 2, 7 April 2006, Pages 360-373 Edward W. Frees, Ping Wang Copula-based regression models: A survey Journal of Statistical Planning and Inference, Volume 139, Issue 11, 1 November 2009, Pages 3847-3856 Nikolai Kolev, Delhi Paiva Applying copula models to individual claim loss reserving methods Insurance: Mathematics and Economics, Volume 46, Issue 2, April 2010, Pages 290-299 XiaoBing Zhao, Xian Zhou Copula models for insurance claim numbers with excess zeros and time-dependence Insurance: Mathematics and Economics, Volume 50, Issue 1, January 2012, Pages 191-199 Xiaobing Zhao, Xian Zhou Claim dependence with common effects in credibility models Insurance: Mathematics and Economics, Volume 38, Issue 3, 15 June 2006, Pages 609-629 Keng Leong Yeo, Emiliano A. Valdez Multidimensional Credibility with Time Effects - An Application to Commercial Business Lines The Journal of Risk and Insurance, 76(2), 443-453. 2009 Englund, M., Gustafsson, J., Nielsen, J. P. & Thuring, F.
- Contact: Nader Tajvidi
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