论文标题
与Bernstein Copulas的非生活保险中的依赖结构建模和模拟
Modelling and simulation of dependence structures in nonlife insurance with Bernstein copulas
论文作者
论文摘要
在本文中，我们回顾了与具有统一边缘的离散随机矢量有关的任意维度和一般网格分辨率的伯恩斯坦和网格类型的。我们进一步提出了一种务实的方式，可以通过网格型Copulas和经验意外表来符合多元数据对伯恩斯坦Copulas的依赖性结构。最后，我们讨论了一项蒙特卡洛研究，以进行观察到的风暴和洪水数据的骨料损失的模拟和PML估计。
In this paper we review Bernstein and grid-type copulas for arbitrary dimensions and general grid resolutions in connection with discrete random vectors possessing uniform margins. We further suggest a pragmatic way to fit the dependence structure of multivariate data to Bernstein copulas via grid-type copulas and empirical contingency tables. Finally, we discuss a Monte Carlo study for the simulation and PML estimation for aggregate dependent losses form observed windstorm and flooding data.
