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arXiv · 2210.05091

A Copula-Based family of Bivariate Composite Models for Claim Severity Modelling

Girish Aradhye·George Tzougas·Deepesh Bhati
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Abstract

In this paper, we consider bivariate composite models for modeling jointly different types of claims and their associated costs in a flexible manner. For expository purposes, the Gumbel copula is paired with the composite Weibull-Inverse Weibull, Paralogistic-Inverse Weibull, and Inverse Burr-Inverse Weibull marginal models. The resulting bivariate copula-based composite models are fitted on motor insurance bodily injury and property damage data from a European motor insurance company and their parameters are estimated via the inference functions for margins method.

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Girish Aradhye, George Tzougas, Deepesh Bhati. 2022-10-11. A Copula-Based family of Bivariate Composite Models for Claim Severity Modelling. https://arxiv.org/abs/2210.05091

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