Bookcover of Copula Based Risks Classification Models for General Insurance
Booktitle:

Copula Based Risks Classification Models for General Insurance

A Kenyan General Insurance Business Case

LAP LAMBERT Academic Publishing (2015-03-06 )

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ISBN-13:

978-3-659-37275-9

ISBN-10:
3659372757
EAN:
9783659372759
Book language:
English
Blurb/Shorttext:
In risk classification, similar risks should be assigned to the same class with respect to each variable to ease their management. The dependencies among the risks are examined by fitting copulas, estimating the dependence parameters and lastly using distance matrices to cluster the risks together. Distances used in the classification were determined by the problem at hand. The empirical study derived its data from the general insurance business in Kenya where the risks were classified by the Copula based approach. The motivation of the study was driven by the fact that insurance companies had collapsed in the past, one reason being the type of business classes they collectively engaged in. It is therefore important to understand the dependencies between risks for better risk management. This work proposed the use of the upper tail dependence, measured by the tail index, derived from the dependence parameter in determining the retention limits for a re-insurance arrangement. This will ensure that the highly dependent risks in the upper tail will forward higher proportion to the re-insurer and vice versa.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Joseph Kyalo Mung'atu
Number of pages:
148
Published on:
2015-03-06
Stock:
Available
Category:
Theory of probability, stochastics, mathematical statistics
Price:
61.90 €
Keywords:
Distances, Lines of business, retention limits, risk classification, cluster, copula, dependence, general insurance, Reinsurance

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