Essays about: "tail dependence"
Showing result 16 - 19 of 19 essays containing the words tail dependence.
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16. Insurance Loss Reserving
University essay from Lunds universitet/Matematisk statistikAbstract : The concept of run-o triangles is widely used within the actuarial eld. Its purpose is to estimate Incurred But Not Reported claims for insurance portfolios, in order to set appropriate reserves that are in compliance with regulatory requirements as well as the company's risk appetite. READ MORE
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17. A Copula Approach to Modeling Insurance Claims
University essay from Lunds universitet/Matematisk statistikAbstract : It is crucial for the insurance business to create risk profiles for their customers to be able set a fair price for their insurances. This thesis presents an alternative method for measuring the dependence between the numbers of claims made by a customer holding two insurances. READ MORE
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18. On Modeling Insurance Claims using Copulas
University essay from Lunds universitet/Matematisk statistikAbstract : In this master's thesis, a copula approach is used to model the number of claims made by a customer holding three insurances. It is important for insurance companies to have good models for the risk proles of their customers, and the number of claims is a key element in calculating the expected cost for the company. READ MORE
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19. Statistical analysis of empirical pairwise copulas for the S&P 500 stocks
University essay from KTH/Matematisk statistikAbstract : It is of great importance to find an analytical copula that will represent the empirical lower tail dependence. In this study, the pairwise empirical copula are estimated using data of the S&P 500 stocks during the period 2007-2010. READ MORE
