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Assessing high-risk scenarios by full-range tail dependence copulas

MARC record
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LDR  00000cab a2200000 4500
001  MAP20140041824
003  MAP
005  20141113113051.0
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20080649616‎$a‎Hua, Lei
24510‎$a‎Assessing high-risk scenarios by full-range tail dependence copulas‎$c‎Lei Hua, Michelle Xia
520  ‎$a‎Copulas with a full-range tail dependence property can cover the widest range of positive dependence in the tail, so that a regression model can be built accounting for dynamic tail dependence patterns between variables. We propose a model that incorporates both regression on each marginal of bivariate response variables and regression on the dependence parameter for the response variables. An ACIG copula that possesses the full-range tail dependence property is implemented in the regression analysis. Comparisons between regression analysis based on ACIG and Gumbel copulas are conducted, showing that the ACIG copula is generally better than the Gumbel copula when there is intermediate upper tail dependence. A simulation study is conducted to illustrate that dynamic tail dependence structures between loss and ALAE can be captured by using the one-parameter ACIG copula. Finally, we apply the ACIG and Gumbel regression models for a dataset from the U.S. Medical Expenditure Panel Survey. The empirical analysis suggests that the regression model with the ACIG copula improves the assessment of high-risk scenarios, especially for aggregated dependent risks
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎01/09/2014 Tomo 18 Número 3 - 2014
856  ‎$y‎MÁS INFORMACIÓN‎$u‎mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A