Estimation efficiency in the modeling of dependence structures: an application of alternative copulas to insurance rating Conference Paper

abstract

• This study assesses the performance of several alternative methods for modeling dependence between random variables in the context of pricing an agricultural insurance contract with multiple underlying risk exposures. Simulation methods are used to estimate the sampling distribution of the insurance rates generated under alternative methods. The results indicate significant variability in performance across methods, and contribute to the risk analysis and insurance literatures by quantitatively assessing out-of-sample efficiency and bias trade-off among competing methods for modeling dependence in limited data scenarios. 2010 WIT Press.

name of conference

• Risk Analysis VII

authors

• Vedenov, Dmitry

published proceedings

• RISK ANALYSIS VII: SIMULATION AND HAZARD MITIGATION & BROWNFIELDS V: PREVENTION, ASSESSMENT, REHABILITATION AND DEVELOPMENT OF BROWNFIELD SITES

author list (cited authors)

• Woodard, J. D., Paulson, N. D., Vedenov, D., & Power, G. J.

citation count

• 0

complete list of authors

• Woodard, JD||Paulson, ND||Vedenov, D||Power, GJ

publication date

• August 2010

publisher

• WITPRESS LTD.  Publisher

published in

• WIT Transactions on Information and Communication Technologies  Journal

keywords

• And Huang Procedure
• Copulas
• Crop Insurance Rating Efficiency
• Grp Basis Risk
• Iman And Conover Procedure
• Kernel Copula
• Phoon
• Quek

Digital Object Identifier (DOI)

• 10.2495/RISK100211

International Standard Book Number (ISBN) 13

• 978-1-84564-472-7

start page

• PI229

end page

• PI244

volume

• 1

URL

• http%3A%2F%2Fdx.doi.org%2F10.2495%2Frisk100211

user-defined tag

• 7 Affordable and Clean Energy