Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing
含内生协变量的复合分布 Copula 回归及保险免赔额定价应用
This article concerns deductible pricing in nonlife insurance contracts. The primary interest of insurers is the effect of the contract deductible on a policyholder’s aggregate loss that is determined by a compound distribution where the sum of individual claim amount is stopped by the number of claims. Policyholders choose the deductible level based on their hidden risks, which makes deductible endogenous in the regressions for both claim frequency and claim severity. To…