This paper illustrates the modeling of dependence structures of non-life insurance risks using the Bernstein copula. We conduct a goodness-of-fit analysis and compare the Bernstein copula with other widely used copulas. Then, we illustrate the use of the Bernstein copula in a value-at-risk and...

The aim of this paper is to expand on recent contributions in the field of risk modelling for non-life insurance companies by modelling insurance risk in a multi-year context. Academic literature on non-life insurance risk to date has only considered an ultimo perspective (using traditional...