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Improving the Effectiveness of Weather-based Insurance: An Application of Copula Approach
Bokusheva, Raushan - Volkswirtschaftliche Fakultät, … - 2014
The study develops the methodology for a copula-based weather index insurance rating. As the copula approach is better … left tail of the joint distribution of a weather variable and the farm yield, we employ the Gumbel survival copula. Our … results indicate that, given the choice of an appropriate weather index to signal extreme drought occurrence, a copula …
Persistent link: https://www.econbiz.de/10011186476
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The Empirical Measure of Information Problems with Emphasis on Insurance Fraud and Dynamic Data
Dionne, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2012
We discuss the difficult question of measuring the effects of asymmetric information problems on resource allocation. Three problems are examined: moral hazard, adverse selection, and asymmetric learning. One theoretical conclusion, drawn by many authors, is that information problems may...
Persistent link: https://www.econbiz.de/10010570021
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A theory of bonus in life insurance
Norberg, Ragnar - In: Finance and Stochastics 3 (1999) 4, pp. 373-390
The issue of bonus in life insurance is considered in a model framework where the traditional set-up is extended by letting the experience basis (mortality, interest, etc.) be stochastic. A novel definition of the technical surplus on an insurance contract is proposed, and basic principles for...
Persistent link: https://www.econbiz.de/10005613415
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Mortality risk via affine stochastic intensities: calibration and empirical relevance
LUCIANO, Elisa; VIGNA, Elena - Volkswirtschaftliche Fakultät, … - 2008
In this paper, we address the mortality risk of individuals and adopt parsimonious time- homogeneous a±ne processes for their mortality intensities. We calibrate the models to different generations in the UK population and investigate their empirical appropriateness. We find that, in spite of...
Persistent link: https://www.econbiz.de/10011107930
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Change analysis of dynamic copula for measuring dependence in multivariate financial data.
Guégan, Dominique; Zhang, Jing - Maison des Sciences Économiques, Université Paris 1 … - 2006
in the dependence structure. Recently, two methods to analyze such changes using copula have been proposed. The first … approach only investigates the changes of copula parameters while ignoring the possibility of the changing for the copula … family. The other one stresses to inspect any change for copulas by determining the best copula on every subsamples divided …
Persistent link: https://www.econbiz.de/10005696854
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Goodness-of-fit test for copulas
Panchenko, Valentyn - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 176-182
form for the copula is an open question in the literature. This paper develops a goodness-of-fit test for copulas based on …. The test is applied to a dataset of US large cap stocks to assess the performance of the Gaussian copula for the … portfolios of assets of various dimension. The Gaussian copula appears to be inadequate to characterize the dependence between …
Persistent link: https://www.econbiz.de/10010589678
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Copula goodness-of-fit testing: an overview and power comparison
Berg, Daniel - In: The European Journal of Finance 15 (2009) 7-8, pp. 675-701
Several copula goodness-of-fit approaches are examined, three of which are proposed in this paper. Results are …
Persistent link: https://www.econbiz.de/10008603200
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Imputing Individual Effects in Dynamic Microsimulation Models. An application to household formation and labour market participation in Italy
Richiardi, Matteo; Poggi, Ambra - In: International Journal of Microsimulation 7 (2014) 2, pp. 3-39
Dynamic microsimulation modelling involves two stages: estimation and forecasting. Unobserved heterogeneity is often considered in estimation, but not in forecasting, beyond trivial cases. Non-trivial cases involve individuals that enter the simulation with a history of previous outcomes. We...
Persistent link: https://www.econbiz.de/10010960067
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Imputing Individual Effects in Dynamic Microsimulation Models.An application of the Rank Method.
Poggi, Ambra; Richiardi, Matteo G. - Collegio Carlo Alberto, Università degli Studi di Torino - 2012
Dynamic microsimulation modeling involves two stages: estimation and forecasting. Unobserved heterogeneity is often considered in estimation, but not in forecasting, beyond trivial cases. Non-trivial cases involve individuals that enter the simulation with a history of previous outcomes. We show...
Persistent link: https://www.econbiz.de/10010592671
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Accounting for Unobserved Heterogeneity in Discrete-time, Discrete-choice Dynamic Microsimulation Models. An application to Labor Supply and Household Formation in Italy.
Poggi, Ambra; Richiardi, Matteo - Collegio Carlo Alberto, Università degli Studi di Torino - 2012
This paper analyzes the implications of unobserved heterogeneity in discrete-time, discrete-choice microsimulation models. We compare the predictions coming from simple pooled probit estimates with those obtained using random effect dynamic probit models, in a dynamic microsimulation of...
Persistent link: https://www.econbiz.de/10010615369