Rank-based inference tools for copula regression, with property and casualty insurance applications

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F19%3A10402069" target="_blank" >RIV/00216208:11320/19:10402069 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=S7su54h2xN" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=S7su54h2xN</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.insmatheco.2019.08.001" target="_blank" >10.1016/j.insmatheco.2019.08.001</a>

Result language
angličtina
Original language name
Rank-based inference tools for copula regression, with property and casualty insurance applications
Original language description
Rank-based procedures are commonly used for inference in copula models for continuous responses whose behavior does not depend on covariates. This paper describes how these procedures can be adapted to the broader framework in which (possibly non-linear) regression models for the marginal responses are linked by a copula that does not depend on covariates. The validity of many of these techniques can be derived from the asymptotic equivalence between the classical empirical copula process and its analog based on suitable residuals from the marginal models. Moment-based parameter estimation and copula goodness-of-fit tests are shown to remain valid under weak conditions on the marginal error term distributions, even when the residual-based empirical copula process fails to converge weakly. The performance of these procedures is evaluated through simulation in the context of two general insurance applications: micro-level multivariate insurance claims, and dependent loss triangles. (C) 2019 The Authors. Published by Elsevier B.V.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GA19-00015S" target="_blank" >GA19-00015S: Identification of Poverty and Social Exclusion Temporal Patterns of Households Based on Multivariate Mixed Type Panel Data</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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