Factor copula approaches for assessing spatially dependent high-dimensional risks

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<dc:creator>Hua, Lei</dc:creator>
<dc:creator>Xia, Míchelle</dc:creator>
<dc:date>2017-03-01</dc:date>
<dc:description xml:lang="es">Sumario: In this article, we propose an innovative approach for modeling spatial dependence among losses fromvarious geographical locations.
The proposed model converts the challenging task of modeling complex spatial dependence structures into a relatively easier task of
estimating a continuous function, of which the arguments can be the coordinates of the locations. The approach is based on factor copula
models, which can capture various linear and nonlinear dependence.We use radial basis functions as the kernel smoother for estimating
the key function that models all the spatial dependence structures. A case study on a thunderstorm wind loss dataset demonstrates the
analysis and the usefulness of the proposed approach. Extensions to spatiotemporal models and to models for discrete data are briefly
introduced, with an example given for modeling loss frequency with excess zeros.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/160183.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Modelización mediante cópulas</dc:subject>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Factor copula approaches for assessing spatially dependent high-dimensional risks</dc:title>
<dc:relation xml:lang="es">En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/03/2017 Tomo 21 Número 1 - 2017 , p. 147-160</dc:relation>
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