iThenticate Article of Premium analysis for copula model: A case study for Malaysian motor insurance claims

Resti, Yulia (2014) iThenticate Article of Premium analysis for copula model: A case study for Malaysian motor insurance claims. FMIPA Universitas Sriwijaya.

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Abstract

This study performs premium analysis for copula models with regression marginals. For illustration purpose, the copula models are fitted to the Malaysian motor insurance claims data. In this study, we consider copula models from Archimedean and Elliptical families, and marginal distributions of Gamma and Inverse Gaussian regression models. The simulated results from independent model, which is obtained from fitting regression models separately to each claim category, and dependent model, which is obtained from fitting copula models to all claim categories, are compared. The results show that the dependent model using Frank copula is the best model since the risk premiums estimated under this model are closely approximate to the actual claims experience relative to the other copula models.

Item Type:	Other
Subjects:	#3 Repository of Lecturer Academic Credit Systems (TPAK) > Results of Ithenticate Plagiarism and Similarity Checker
Divisions:	08-Faculty of Mathematics and Natural Science > 44201-Mathematics (S1)
Depositing User:	Mr. Irsyadi Yani, S.T., M.Eng., Ph.D.
Date Deposited:	28 Apr 2023 23:09
Last Modified:	28 Apr 2023 23:09
URI:	http://repository.unsri.ac.id/id/eprint/97991

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