Modelling and simulation of dependence structures in nonlife insurance with Bernstein copulas

2020/10/29 by Pfeifer, Dietmar, Strassburger, Doreen, Philipps, Joerg
#11K45 #62H05 #62H12 #62H17 #FOS: Computer and information sciences #FOS: Economics and business #Methodology (stat.ME) #Risk Management (q-fin.RM)

paper · doi:10.48550/arxiv.2010.15709

Abstract

In this paper we review Bernstein and grid-type copulas for arbitrary dimensions and general grid resolutions in connection with discrete random vectors possessing uniform margins. We further suggest a pragmatic way to fit the dependence structure of multivariate data to Bernstein copulas via grid-type copulas and empirical contingency tables. Finally, we discuss a Monte Carlo study for the simulation and PML estimation for aggregate dependent losses form observed windstorm and flooding data.

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