A copula-based risk aggregation model

作者：Cote Marie Pier; Genest Christian^*

来源：Canadian Journal of Statistics, 2015, 43(1): 60-81.

DOI：10.1002/cjs.11238

• Capital allocation
• Dependence structure
• dependence-based distance
• hierarchical clustering
• Kendall's tau
• Liouville copulas
• risk aggregation
• risk measures

A flexible approach for risk aggregation is considered. The model consists of a tree structure, bivariate copulas, and marginal distributions. The construction relies on a conditional independence assumption whose implications are studied. A procedure for selecting the tree structure is developed using hierarchical clustering techniques, along with a distance metric based on Kendall's tau. Estimation, simulation, and model validation are also discussed. The approach is illustrated using data from a Canadian property and casualty insurance company. The Canadian Journal of Statistics 43: 60-81; 2015 (c) 2015 Statistical Society of Canada
Resume
Les auteurs considerent une approche flexible pour l'agregation de risques basee sur un modele forme d'une arborescence, de copules bivariees et de lois marginales. La construction s'appuie sur un postulat d'independance conditionnelle dont ils etudient les ramifications. Ils montrent comment choisir l'arborescence au moyen de techniques de classification et d'une metrique definie a partir du tau de Kendall et abordent egalement l'estimation, la simulation et l'adequation du modele. Enfin, les auteurs illustrent leur methode a l'aide de donnees d'une compagnie canadienne en assurance IARD.

• 出版日期2015-3