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Preprints, Working Papers, ... Year : 2023

Semiparametric copula models applied to the decomposition of claim amounts

Abstract

In this paper, we develop a conditional copula model to analyze the distribution of a claim that generates different types of costs and/or simultaneously impacts several guarantees. Our methodology is adapted to taking into account the particular structure of our data, since observations are subject to right-censoring. Right-censoring occurs since payment of a claim is not made instantaneously, and therefore unsettled claims only provide a partial information on the phenomenon that one wishes to model. The new methodology that we develop is supported by theoretical results that show the asymptotic normality of our estimators. A simulation study and a real data analysis illustrate the method.
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Dates and versions

hal-04300493 , version 1 (22-11-2023)

Identifiers

  • HAL Id : hal-04300493 , version 1

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Sébastien Farkas, Olivier Lopez. Semiparametric copula models applied to the decomposition of claim amounts. 2023. ⟨hal-04300493⟩
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