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Summary: Statistical analysis of dependencies within
insurance portfolios
Viktor Lukocius
University of Twente
Statistical analysis of dependencies withininsurance portfolios p. 1/1
Outline
· Introduction (What and how have been done)
· Development of the models
· The last model
· Data for the last model implementation
· Example of the dependence effect
Statistical analysis of dependencies withininsurance portfolios p. 2/1
Introduction
· Rare events and the independence assumption
· Alternative modelling of the aggregated sum S
· Dependence effect analysis on the basis of the Stop-Loss
contract and Value at Risk (approximation is needed)
· Parameters estimation
· Estimation impact
Statistical analysis of dependencies withininsurance portfolios p. 3/1
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