Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction
利用成对 Copula 构造对捆绑保险风险进行依赖建模、定价与管理
We propose a dependence-aware predictive modeling framework for multivariate risks stemmed from an insurance contract with bundling features — an important type of policy increasingly offered by major insurance companies. The bundling feature naturally leads to longitudinal measurements of multiple insurance risks, and correct pricing and management of such risks is of fundamental interest to financial stability of the macroeconomy. We build a novel predictive model that…