Predicting the number of outstanding claims (IBNR) is a central problem in actuarial loss reserving. Classical approaches like the Chain Ladder method rely on aggregating the available data in form of loss triangles, thereby wasting potentially useful additional claims information. A new...

Usually, the actuarial problems of predicting the number of claims incurred but not reported (IBNR) and of modelling claim frequencies are treated successively by insurance companies. New micro-level methods designed for large datasets are proposed that address the two problems simultaneously....

Abstract Nonparametric estimation of tail dependence can be based on a standardization of the marginals if their cumulative distribution functions are known. In this paper it is shown to be asymptotically more efficient if the additional knowledge of the marginals is ignored and estimators are...

This article proposes nonparametric tests for tail monotonicity of bivariate random vectors. The test statistic is based on a Kolmogorov–Smirnov-type functional of the empirical copula. Depending on the serial dependence features of the data, we propose two multiplier bootstrap techniques to...

Classical and more recent tests for detecting distributional changes in multivariate time series often lack power against alternatives that involve changes in the cross-sectional dependence structure. To be able to detect such changes better, a test is introduced based on a recently studied...

Empirical and sequential empirical copula processes play a central role for statistical inference on copulas. However, as pointed out by Johan Segers [J. Segers, Asymptotics of empirical copula processes under non-restrictive smoothness assumptions, Bernoulli 18 (3) (2012) 764–782] the usual...

Considering multivariate strongly mixing time series, nonparametric tests for a constant copula with specified or unspecified change point (candidate) are derived; the tests are consistent against general alternatives. A tapered block multiplier technique based on serially dependent multiplier...

In a recent paper Fermanian (2005) [9] studied a goodness-of-fit test for the parametric form of a copula, which is based on an L2-distance between a parametric and a nonparametric estimate of the copula density. In the present paper we investigate the asymptotic properties of the proposed...

In the functional regression model where the responses are curves, new tests for the functional form of the regression and the variance function are proposed, which are based on a stochastic process estimating L2-distances. Our approach avoids the explicit estimation of the functional regression...