Bivariate Archimedean copula models for censored data in non-life insurance. (English) Zbl 1192.91114

Denuit, Michel; Purcaru, Oana; Van Keilegom, Ingrid

J. Actuar. Pract. 13, 5-32 (2006).

Summary: We describe a methodology based on Archimedean copulas for analyzing nonlife insurance data with censoring present. Specifically, we propose a graphical selection procedure for the nonparametric estimation of the generator. An actual loss-ALAE data set is used for the numerical illustrations and for comparisons of our approach to a few others.

MSC:

91B30	Risk theory, insurance (MSC2010)
62P05	Applications of statistics to actuarial sciences and financial mathematics
62N01	Censored data models
62H05	Characterization and structure theory for multivariate probability distributions; copulas
62H20	Measures of association (correlation, canonical correlation, etc.)

Keywords:

dependence; Archimedean copula; model selection; censored data