Date: 2014-10-31

Time: 15:30-16:30

Location: BURN 1205

Abstract:

A flexible approach is proposed for risk aggregation. The model consists of a tree structure, bivariate copulas, and marginal distributions. The construction relies on a conditional independence assumption whose implications are studied. Selection the tree structure, estimation and model validation are illustrated using data from a Canadian property and casualty insurance company.

Speaker

Marie-Pier Côté is a PhD student in the Department of Mathematics and Statistics at McGill University.