Dependence Analysis of Insurance Businesses Based on Hierarchical Archimedean Copula Function

Tail dependence for weighted mean of two copula function

In this paper, we study the properties of power weighted means, arithmetic, geometry and harmonic for two copulas.

Modeling Multi-population Longevity Risk with Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copula Approach

Copula Structure Analysis Based on Robust and Extreme Dependence Measures

In this paper we extend the standard approach of correlation structure analysis in order to reduce the dimension of highdimensional statistical data. The classical assumption of a linear model for the distribution of a random vector is replaced by the weaker assumption of a model for the copula. For elliptical copulae a ’correlation-like’ structure remains but different margins and non-existenc...

Bivariate Archimedean Copula Models for Censored Data in Non-Life Insurance

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.

Hierarchical Analysis of Effective Components on Auditors\' Professional Liability Insurance to Develop Ethical Framework

Background: The development of the insurance industry and the accounting system are two important pillars of economic development of any country and the ethical responsibility of auditors requires them to reduce the risk of their activities. The present study has developed a hierarchical analysis of the components affecting the professional liability insurance of auditors in order to develop th...