Estimation efficiency in the modeling of dependence structures: An application of alternative copulas to insurance rating

J. D. Woodard, N. D. Paulson, D. Vedenov, G. J. Power

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This study assesses the performance of several alternative methods for modeling dependence between random variables in the context of pricing an agricultural insurance contract with multiple underlying risk exposures. Simulation methods are used to estimate the sampling distribution of the insurance rates generated under alternative methods. The results indicate significant variability in performance across methods, and contribute to the risk analysis and insurance literatures by quantitatively assessing out-of-sample efficiency and bias trade-off among competing methods for modeling dependence in limited data scenarios.

Original languageEnglish (US)
Title of host publicationRisk Analysis VII
PagesPI229-PI244
DOIs
StatePublished - 2010
Event7th International Conference on Computer Simulation in Risk Analysis and Hazard Mitigation, RISK10 - Algarve, Portugal
Duration: Sep 13 2010Sep 15 2010

Publication series

NameWIT Transactions on Information and Communication Technologies
Volume43 PART I
ISSN (Print)1743-3517

Other

Other7th International Conference on Computer Simulation in Risk Analysis and Hazard Mitigation, RISK10
CountryPortugal
CityAlgarve
Period9/13/109/15/10

Keywords

  • And huang procedure
  • Copulas
  • Crop insurance rating efficiency
  • GRP basis risk
  • Iman and conover procedure
  • Kernel copula
  • Phoon
  • Quek

ASJC Scopus subject areas

  • Management Information Systems
  • Computer Science(all)

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