MODELING INSURANCE CLAIM DISTRIBUTION VIA MIXTURE DISTRIBUTION AND COPULA

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BAJALAN SAEED; RAEI REZA; MOHAMMADI SHAPOUR

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Paper Information

Journal: FINANCIAL RESEARCH Year:2017 | Volume:19 | Issue:1 Page(s): 23-40

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Information Journal Paper

Title

MODELING INSURANCE CLAIM DISTRIBUTION VIA MIXTURE DISTRIBUTION AND COPULA

Author(s)

BAJALAN SAEED | RAEI REZA | MOHAMMADI SHAPOUR | Issue Writer Certificate

Keywords

MARGINAL DISTRIBUTIONQ2

MIXTURE DISTRIBUTIONQ2

JOINT PROBABILITY DISTRIBUTIONQ2

COPULA FUNCTIONQ2

Abstract

This paper analyses whether JOINT PROBABILITY DISTRIBUTION function of losses due to different exposures covered under the same policy could be modeled in an appropriate manner via MIXTURE DISTRIBUTION proposed and copula concept.Special type of distribution which is a mixture of Generalized Hyperbolic Skew t distribution and Extreme Value theory (EVT) has been used for modeling MARGINAL DISTRIBUTIONs of claims and COPULA FUNCTION has been considered as a means of modeling dependency structure among claims. Most important copula including; Gaussian, t, Frank, Gumbel and Clayton was tested from goodness of fit point of view.The data used in this study are the amount of property damage and bodily injury covered under automobile liability insurance.Results reveal that JOINT PROBABILITY DISTRIBUTION of claims could be effectively modeled by Clayton copula and proposed MIXTURE DISTRIBUTION.

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APA: Copy

BAJALAN, SAEED, RAEI, REZA, & MOHAMMADI, SHAPOUR. (2017). MODELING INSURANCE CLAIM DISTRIBUTION VIA MIXTURE DISTRIBUTION AND COPULA. FINANCIAL RESEARCH, 19(1 ), 23-40. SID. https://sid.ir/paper/91240/en

Vancouver: Copy

BAJALAN SAEED, RAEI REZA, MOHAMMADI SHAPOUR. MODELING INSURANCE CLAIM DISTRIBUTION VIA MIXTURE DISTRIBUTION AND COPULA. FINANCIAL RESEARCH[Internet]. 2017;19(1 ):23-40. Available from: https://sid.ir/paper/91240/en

IEEE: Copy

SAEED BAJALAN, REZA RAEI, and SHAPOUR MOHAMMADI, “MODELING INSURANCE CLAIM DISTRIBUTION VIA MIXTURE DISTRIBUTION AND COPULA,” FINANCIAL RESEARCH, vol. 19, no. 1 , pp. 23–40, 2017, [Online]. Available: https://sid.ir/paper/91240/en

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