Séminaire Statistique
organisé par l'équipe Statistique
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Renata Alcoforado
Dependence Structures in Insurance Risk Modeling
12 décembre 2025 - 11:00Salle de séminaires IRMA
A common assumption in classical risk theory is the independence between claim frequency and severity. However, this often fails in practice, especially when subtle or nonlinear dependencies are present. This study analyzes a real-world dataset comprising 15,665 claims from housing and liability insurance contracts, recorded between 01/01/2015 and 31/12/2019, provided by an anonymous insurer. Unlike most literature focused on automobile insurance, our data allow us to explore dependence in less-studied lines of business, which pose unique challenges. We investigate the presence and nature of dependence between frequency and severity, and how this relationship evolves over time and across insurance types. Our approach combines parametric and nonparametric methods: we fit Poisson-Inverse Gaussian, Negative Binomial, Weibull, and Log-Normal distributions to the marginals, and apply copula-based techniques to assess joint behavior. Using pseudo-observations, we estimate empirical copulas, visualize joint densities, and perform statistical tests of independence and equality (KcopTest), which reveal a structural break in housing insurance in 2016. Results indicate strong positive dependence in liability insurance. In housing insurance, we find near-independence in most years, but a weak and significant negative dependence in 2016. Finally, GAMLSS models confirm diverging patterns: in liability insurance, severity increases with frequency; in housing insurance, it decreases, in contrast to findings by Garrido (2016). We discuss implications for pricing, reserving, and solvency assessment under dependence. -
Julien Gibaud
A venir
16 janvier 2026 - 11:00Salle de séminaires IRMA
A venir -
Marina Gomtsyan
A venir
23 janvier 2026 - 11:00Salle de séminaires IRMA
A venie -
Jean-Armel Bra Kouadio
A venir
30 janvier 2026 - 11:00Salle de séminaires IRMA
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Yiye Jiang
A venir
13 février 2026 - 11:00Salle de séminaires IRMA
A venir -
Stéphane Lhaut
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20 février 2026 - 11:00Salle de séminaires IRMA
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Hugo Henneuse
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6 mars 2026 - 11:00Salle de séminaires IRMA
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Antoine Heranval
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20 mars 2026 - 11:00Salle de séminaires IRMA
A venir -
Orlane Rossini
A venir
27 mars 2026 - 11:00Salle de séminaires IRMA
A venir