Copulas are multivariate probability distributions used in the modeling of multiple random variables. In insurance, they are used to create models that preserve the relationship between a claim’s loss amount and any associated expenses, especially in large loss scenarios. The goal of this project was to develop a copula model for losses and their associated expenses and determine whether their use produces different results than current modeling methods. Through data analysis and simulation, the team identified that a copula model could be applied to claims in Workers’ Compensation. It was found that the copula model did not produce significantly different results than those produced using the sponsor’s traditional methods, validating their current models.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Ferrini, Lexi
• Robillard, Donovan
• Lambert, Alison

Subject

• Industry

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-042622-130122
• 63826

Keyword

• Actuarial
• Insurance
• Copulas
• Probability

Advisor

• Abraham, Jon P.
• Posterro, Barry John

Year

• 2022

Sponsor

• The Hanover Insurance Group

Date created

• 2022-04-26

Resource type

• Major Qualifying Project

Major

• Actuarial Mathematics

Rights statement

• In Copyright