Department of Finance
Journal of Actuarial Practice (1993–2006)
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Date of this Version
2006
Document Type
Article
Citation
Journal of Actuarial Practice 13 (2006) pp. 5-32
Abstract
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.
Included in
Accounting Commons, Business Administration, Management, and Operations Commons, Corporate Finance Commons, Finance and Financial Management Commons, Insurance Commons, Management Sciences and Quantitative Methods Commons
Comments
Copyright 2006 Absalom Press