Centro de Documentacion de Fundación MAPFRE - Estimating copulas for insurance from scarce observations, expert opinion and prior information : a bayesian approach

MAP20120031050

Estimating copulas for insurance from scarce observations, expert opinion and prior information : a bayesian approach / Philipp Arbenz, Davide Canestraro

Sumario: A prudent assessment of dependence is crucial in many stochastic models for insurance risks. Copulas have become popular to model such dependencies. However, estimation procedures for copulas often lead to large parameter uncertainty when observations are scarce. In this paper, we propose a Bayesian method which combines prior information (e.g. from regulators), observations and expert opinion in order to estimate copula parameters and determine the estimation uncertainty. The combination of different sources of information can significantly reduce the parameter uncertainty compared to the use of only one source. The model can also account for uncertainty in the marginal distributions. Furthermore, we describe the methodology for obtaining expert opinion and explain involved psychological effects and popular fallacies. We exemplify the approach in a case study

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 07/05/2012 Volumen 42 Número 1 - mayo 2012 , p. 271-290

1. Modelización mediante cópulas . 2. Gerencia de riesgos . 3. Métodos de cálculo . 4. Modelo estocástico . 5. Métodos de estimación objetiva . I. Canestraro, Davide . II. Título.