Semiparametric copula models applied to the decomposition of claim amounts

Sébastien Farkas (1) , Olivier Lopez (2)

1 LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation
2 CREST - Centre de Recherche en Économie et Statistique

In this paper, we develop a conditional copula model to analyze the distribution of a claim that generates different types of costs and/or simultaneously impacts several guarantees. Our methodology is adapted to taking into account the particular structure of our data, since observations are subject to right-censoring. Right-censoring occurs since payment of a claim is not made instantaneously, and therefore unsettled claims only provide a partial information on the phenomenon that one wishes to model. The new methodology that we develop is supported by theoretical results that show the asymptotic normality of our estimators. A simulation study and a real data analysis illustrate the method.

Keywords: Conditional copula; Right-censoring; Claim reserving; Insurance; Conditional copula Right-censoring Claim reserving Insurance; Conditional copula

Domains: Statistics [math.ST]

Sébastien Farkas, Olivier Lopez. Semiparametric copula models applied to the decomposition of claim amounts. 2023. ⟨hal-04300493v1⟩