| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076806 | Insurance: Mathematics and Economics | 2012 | 7 Pages |
Abstract
⺠We model the dependence of non-life insurance risks using the Bernstein copula. ⺠Several goodness-of-fit and risk analyses are conducted. ⺠Compared to other widely used copulas the Bernstein copula provides a good fit. ⺠Best performance is observed for inhomogeneous dependence structures. ⺠Adequate modeling can increase as well as decrease risk capital requirements.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Dorothea Diers, Martin Eling, Sebastian D. Marek,