This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
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Activity Number:
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587
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Type:
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Contributed
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Date/Time:
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Wednesday, August 4, 2010 : 2:00 PM to 3:50 PM
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Sponsor:
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Health Policy Statistics Section
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| Abstract - #306580 |
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Title:
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Modeling Dependent Yearly Claim Totals Including Zero-Claims in Private Health Insurance
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Author(s):
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Vinzenz Erhardt*+ and Claudia Czado
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Companies:
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Technische Universitaet Muenchen and Technische Universitaet Muenchen
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Address:
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, , ,
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Keywords:
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dependence modeling ;
health insurance ;
pair-copula-constructions ;
zero-claim
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Abstract:
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In insurance applications yearly claim totals of different coverage fields are often dependent. In many cases there are numerous claim totals which are zero. A marginal claim distribution will have an additional point mass at zero, hence this probability function will not be continuous at zero and the cdfs will not be uniform. Therefore using a copula approach to model dependency is not straightforward. We will illustrate how to express the joint probability function by copulas with discrete and continuous margins. A pair copula construction will be used for the fit of the continuous copula allowing to choose appropriate copulas for each pair of margins.
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