2022/10/11 by Girish Aradhye, Aradhye, Girish, George Tzougas +3
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #Applications (stat.AP) #FOS: Computer and information sciences #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management #Probability and Risk Models
paper · pdf · doi:10.48550/arxiv.2210.05091
openalex publication_date 2022/10/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper, we consider bivariate composite models for modeling jointly different types of claims and their associated costs in a flexible manner. For expository purposes, the Gumbel copula is paired with the composite Weibull-Inverse Weibull, Paralogistic-Inverse Weibull, and Inverse Burr-Inverse Weibull marginal models. The resulting bivariate copula-based composite models are fitted on motor insurance bodily injury and property damage data from a European motor insurance company and their parameters are estimated via the inference functions for margins method.