Back to Search
Start Over
Rank-based inference tools for copula regression, with property and casualty insurance applications
- Source :
- Insurance: Mathematics and Economics. 89:1-15
- Publication Year :
- 2019
- Publisher :
- Elsevier BV, 2019.
-
Abstract
- Rank-based procedures are commonly used for inference in copula models for continuous responses whose behavior does not depend on covariates. This paper describes how these procedures can be adapted to the broader framework in which (possibly non-linear) regression models for the marginal responses are linked by a copula that does not depend on covariates. The validity of many of these techniques can be derived from the asymptotic equivalence between the classical empirical copula process and its analog based on suitable residuals from the marginal models. Moment-based parameter estimation and copula goodness-of-fit tests are shown to remain valid under weak conditions on the marginal error term distributions, even when the residual-based empirical copula process fails to converge weakly. The performance of these procedures is evaluated through simulation in the context of two general insurance applications: micro-level multivariate insurance claims, and dependent loss triangles.
- Subjects :
- Statistics and Probability
Economics and Econometrics
05 social sciences
Inference
Regression analysis
Marginal model
General insurance
01 natural sciences
Property insurance
Copula (probability theory)
010104 statistics & probability
Goodness of fit
0502 economics and business
Covariate
Econometrics
Statistics::Methodology
0101 mathematics
Statistics, Probability and Uncertainty
050205 econometrics
Mathematics
Subjects
Details
- ISSN :
- 01676687
- Volume :
- 89
- Database :
- OpenAIRE
- Journal :
- Insurance: Mathematics and Economics
- Accession number :
- edsair.doi...........6537961c155e350f65feefd19ad12cbe