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Two-step dependence modelling via copula functions for insurance risks

Detalhes bibliográficos
Ano de defesa: 2023
Autor(a) principal: Borges, André Nunes lattes
Orientador(a): Silva Filho, Osvaldo Candido da lattes
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: por
Instituição de defesa: Universidade Católica de Brasília
Programa de Pós-Graduação: Programa Stricto Sensu em Economia de Empresas
Departamento: Escola de Humanidades, Negócios e Direito
País: Brasil
Palavras-chave em Português:
Copulas
Vine copula
Risco
Dependência
Sinistralidade
Seguros
Palavras-chave em Inglês:
Dependence
Loss-ratio
Risk management
Insurance
Área do conhecimento CNPq:
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
Link de acesso: https://bdtd.ucb.br:8443/jspui/handle/tede/3398
Resumo: Risk management is of great importance for insurance companies, not only for uncertainty being at the core of the business, but due to compliance with regulatory hallmarks such as the Basel Accords. The use of copulas for modelling dependence between random variables in a top-down manner has grown in the past decade due to its flexibility. In this work, copulas are used to access the dependence between premium and claims in order to construct a loss-ratio distribution and Vine Copulas are used to access the dependence between loss-ratios of different risk lines, in a two-step fashion.
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spelling Silva Filho, Osvaldo Candido dahttp://lattes.cnpq.br/3691103797905606http://lattes.cnpq.br/4857377864400214Borges, André Nunes2024-03-21T14:28:00Z2023-07-31BORGES, André Nunes. Two-step dependence modelling via copula functions for insurance risks. 2023. 21 f. Dissertação (Programa Stricto Sensu em Economia de Empresas) - Universidade Católica de Brasília, Brasília, 2023.https://bdtd.ucb.br:8443/jspui/handle/tede/3398Risk management is of great importance for insurance companies, not only for uncertainty being at the core of the business, but due to compliance with regulatory hallmarks such as the Basel Accords. The use of copulas for modelling dependence between random variables in a top-down manner has grown in the past decade due to its flexibility. In this work, copulas are used to access the dependence between premium and claims in order to construct a loss-ratio distribution and Vine Copulas are used to access the dependence between loss-ratios of different risk lines, in a two-step fashion.A modelagem de risco é de enorme importância para as empresas de seguros não só por ser o aspecto principal dessa linha de negócio, mas também pelos marcos regulatórios como os Acordos da Basiléia. Copulas vem sendo muito usadas para modelar a dependência entre variáveis aleatórias, uma vez que são bastante flexíveis. Neste trabalho, são utilizadas cópulas para modelar a dependência entre prêmios e sinistros e construir uma distribuição para a sinistralidade de linhas de seguros e Vine Copulas para modelar a dependência entre a sinistralidade de diferentes linhas, em uma construção de duas etapas.Submitted by Ihorranna Oliveira (ihorranna.oliveira@ucb.br) on 2024-03-06T20:33:04Z No. of bitstreams: 1 AndréBorgesDissertacao2023.pdf: 1451186 bytes, checksum: 7b85d19a5399eb7a07d7bbafbf64e3d2 (MD5)Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2024-03-21T14:28:00Z (GMT) No. of bitstreams: 1 AndréBorgesDissertacao2023.pdf: 1451186 bytes, checksum: 7b85d19a5399eb7a07d7bbafbf64e3d2 (MD5)Made available in DSpace on 2024-03-21T14:28:00Z (GMT). No. of bitstreams: 1 AndréBorgesDissertacao2023.pdf: 1451186 bytes, checksum: 7b85d19a5399eb7a07d7bbafbf64e3d2 (MD5) Previous issue date: 2023-07-31application/pdfhttps://bdtd.ucb.br:8443/jspui/retrieve/11724/Andr%c3%a9BorgesDissertacao2023.pdf.jpgporUniversidade Católica de BrasíliaPrograma Stricto Sensu em Economia de EmpresasUCBBrasilEscola de Humanidades, Negócios e DireitoCopulasVine copulaRiscoDependênciaSinistralidadeSegurosDependenceLoss-ratioRisk managementInsuranceCNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIATwo-step dependence modelling via copula functions for insurance risksinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações da UCBinstname:Universidade Católica de Brasília (UCB)instacron:UCBLICENSElicense.txtlicense.txttext/plain; charset=utf-81905https://bdtd.ucb.br:8443/jspui/bitstream/tede/3398/1/license.txt75558dcf859532757239878b42f1c2c7MD51ORIGINALAndréBorgesDissertacao2023.pdfAndréBorgesDissertacao2023.pdfapplication/pdf1451186https://bdtd.ucb.br:8443/jspui/bitstream/tede/3398/2/Andr%C3%A9BorgesDissertacao2023.pdf7b85d19a5399eb7a07d7bbafbf64e3d2MD52TEXTAndréBorgesDissertacao2023.pdf.txtAndréBorgesDissertacao2023.pdf.txttext/plain43539https://bdtd.ucb.br:8443/jspui/bitstream/tede/3398/3/Andr%C3%A9BorgesDissertacao2023.pdf.txtfde9f46b5d966b931e579648e9fd40bdMD53THUMBNAILAndréBorgesDissertacao2023.pdf.jpgAndréBorgesDissertacao2023.pdf.jpgimage/jpeg3370https://bdtd.ucb.br:8443/jspui/bitstream/tede/3398/4/Andr%C3%A9BorgesDissertacao2023.pdf.jpg6b3beddca29fa814a35a035d0e6187fcMD54tede/33982024-03-22 13:01:25.072oai:bdtd.ucb.br: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 Digital de Teses e Dissertaçõeshttps://bdtd.ucb.br:8443/jspui/PRIhttps://bdtd.ucb.br:8443/oai/requestsdi@ucb.bropendoar:47812024-03-22T13:01:25Biblioteca Digital de Teses e Dissertações da UCB - Universidade Católica de Brasília (UCB)false
dc.title.por.fl_str_mv Two-step dependence modelling via copula functions for insurance risks
title Two-step dependence modelling via copula functions for insurance risks
spellingShingle Two-step dependence modelling via copula functions for insurance risks
Borges, André Nunes
Copulas
Vine copula
Risco
Dependência
Sinistralidade
Seguros
Dependence
Loss-ratio
Risk management
Insurance
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
title_short Two-step dependence modelling via copula functions for insurance risks
title_full Two-step dependence modelling via copula functions for insurance risks
title_fullStr Two-step dependence modelling via copula functions for insurance risks
title_full_unstemmed Two-step dependence modelling via copula functions for insurance risks
title_sort Two-step dependence modelling via copula functions for insurance risks
author Borges, André Nunes
author_facet Borges, André Nunes
author_role author
dc.contributor.advisor1.fl_str_mv Silva Filho, Osvaldo Candido da
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/3691103797905606
dc.contributor.authorLattes.fl_str_mv http://lattes.cnpq.br/4857377864400214
dc.contributor.author.fl_str_mv Borges, André Nunes
contributor_str_mv Silva Filho, Osvaldo Candido da
dc.subject.por.fl_str_mv Copulas
Vine copula
Risco
Dependência
Sinistralidade
Seguros
topic Copulas
Vine copula
Risco
Dependência
Sinistralidade
Seguros
Dependence
Loss-ratio
Risk management
Insurance
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
dc.subject.eng.fl_str_mv Dependence
Loss-ratio
Risk management
Insurance
dc.subject.cnpq.fl_str_mv CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
description Risk management is of great importance for insurance companies, not only for uncertainty being at the core of the business, but due to compliance with regulatory hallmarks such as the Basel Accords. The use of copulas for modelling dependence between random variables in a top-down manner has grown in the past decade due to its flexibility. In this work, copulas are used to access the dependence between premium and claims in order to construct a loss-ratio distribution and Vine Copulas are used to access the dependence between loss-ratios of different risk lines, in a two-step fashion.
publishDate 2023
dc.date.issued.fl_str_mv 2023-07-31
dc.date.accessioned.fl_str_mv 2024-03-21T14:28:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv BORGES, André Nunes. Two-step dependence modelling via copula functions for insurance risks. 2023. 21 f. Dissertação (Programa Stricto Sensu em Economia de Empresas) - Universidade Católica de Brasília, Brasília, 2023.
dc.identifier.uri.fl_str_mv https://bdtd.ucb.br:8443/jspui/handle/tede/3398
identifier_str_mv BORGES, André Nunes. Two-step dependence modelling via copula functions for insurance risks. 2023. 21 f. Dissertação (Programa Stricto Sensu em Economia de Empresas) - Universidade Católica de Brasília, Brasília, 2023.
url https://bdtd.ucb.br:8443/jspui/handle/tede/3398
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dc.publisher.none.fl_str_mv Universidade Católica de Brasília
dc.publisher.program.fl_str_mv Programa Stricto Sensu em Economia de Empresas
dc.publisher.initials.fl_str_mv UCB
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv Escola de Humanidades, Negócios e Direito
publisher.none.fl_str_mv Universidade Católica de Brasília
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