On copula-based collective risk models: from elliptical copulas to vine copulas-Reference-Cited by-同舟云学术

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On copula-based collective risk models: from elliptical copulas to vine copulas

Published:2020-06-26 Issue:1 Volume:2021 Page:1-33
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Oh Rosy¹,Ahn Jae Youn²,Lee Woojoo³

Affiliation:

1. Institute of Mathematical Sciences, Ewha Womans University, Seoul, Korea

2. Department of Statistics, Ewha Womans University, Seoul, Korea

3. Department of Public Health Science, Graduate School of Public Health, Seoul National University, Seoul, Korea

Funder

National Research Foundation of Korea (NRF) grant funded by the Korean Government

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2020.1768889

Reference41 articles.

1. Exponential Behavior in the Presence of Dependence in Risk Theory

2. Extremes on the discounted aggregate claims in a time dependent risk model

3. Bayesian total loss estimation using shared random effects

4. Risk aggregation with dependence uncertainty

5. On a risk model with dependence between interclaim arrivals and claim sizes

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