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Models for High Dimensional Spatially Correlated Risks and Application to Thunderstorm Loss Data in Texas
Başlık:
Models for High Dimensional Spatially Correlated Risks and Application to Thunderstorm Loss Data in Texas
Yazar:
Merk, Tobias, author.
ISBN:
9780438114005
Yazar Ek Girişi:
Fiziksel Tanımlama:
1 electronic resource (77 pages)
Genel Not:
Source: Masters Abstracts International, Volume: 57-06M(E).
Advisors: Akim Adekpedjou Committee members: Gayla R. Olbricht; V.A. Samaranayake.
Özet:
Insurance claims caused by natural disasters exhibit spatial dependence with the strength of dependence being based on factors such as physical distance and population density, to name a few. Accounting for spatial dependence is therefore of crucial importance when modeling these types of claims. In this work, we present an approach to assess spatially dependent insurance risks using a combination of linear regression and factor copula models. Specifically, in loss modeling, observed dependence patterns are highly nonlinear, thus copula-based models seem appropriate since they can handle both linear and nonlinear dependence. The factor copula approach for estimating the spatial dependence reduces a complex dependence structure into a relatively easier task of estimating a spatial dependence parameter. Hence, we use a weighted sum of radial basis functions to model a spatial dependence parameter that determines the influence of each location. The methodology is illustrated using a thunderstorm wind loss dataset of Texas. Extensions to Matern covariance functions and spatiotemporal models are briefly discussed.
Notlar:
School code: 0587
Tüzel Kişi Ek Girişi:
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Yer Numarası | Demirbaş Numarası | Shelf Location | Lokasyon / Statüsü / İade Tarihi |
---|---|---|---|
XX(690504.1) | 690504-1001 | Proquest E-Tez Koleksiyonu | Arıyor... |
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