Rank-based inference tools for copula regression, with property and casualty insurance applications

Volume: 89, Pages: 1 - 15
Published: Nov 1, 2019
Abstract
Rank-based procedures are commonly used for inference in copula models for continuous responses whose behavior does not depend on covariates. This paper describes how these procedures can be adapted to the broader framework in which (possibly non-linear) regression models for the marginal responses are linked by a copula that does not depend on covariates. The validity of many of these techniques can be derived from the asymptotic equivalence...
Paper Details
Title
Rank-based inference tools for copula regression, with property and casualty insurance applications
Published Date
Nov 1, 2019
Volume
89
Pages
1 - 15
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