Copula-mixed distribution model and its application in modeling earthquake loss in China.

The direct economical losses and the tolls of earthquakes are main impacts of earthquake insurance. This paper collected the loss data of earthquake during the years 1950-2015 in China and modeled the direct economical losses and the tolls of earthquake using Copula-mixed distribution model. First, the truncated Gumble distribution and generalized Pareto distribution are mixed to fit the direct economical losses, and the truncated negative binominal distribution and generalized Pareto distribution are mixed to fit the tolls of earthquake. Second, copulas are used to model the dependence between the direct economical losses and the tolls of earthquake. Finally, Monte Carlo simulation method is used to calculate VaR and ES. The models proposed in the paper may be applied to establish earthquake insurance system in China. [ABSTRACT FROM AUTHOR]