Modeling asymmetrically dependent automobile bodily injury claim data using Khoudraji Copulas

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dc.contributor.authorKizilok Kara, Emel
dc.contributor.authorAçik Kemaloğlu, Sibel
dc.date.accessioned2025-01-21T16:28:03Z
dc.date.available2025-01-21T16:28:03Z
dc.date.issued2024
dc.departmentKırıkkale Üniversitesi
dc.description.abstractLinear-dependent variables are typically modeled through the Spearman correlation, a classical statistical technique. In reality, the dependence between the data cannot always be linear. The copula approach has often been a popular tool for modeling dependent data in these cases. Archimedean copulas, which can model mostly symmetrical data, are also among the copula families used for this purpose. Recently, asymmetric copula models have been developed to model unsymmetrical-dependent variables. The dependency measure is calculated using directional dependency coefficients instead of the Spearman correlation when the data is asymmetrical. Appropriate asymmetric model selection is made with the help of these measurements. In the study, first, dependency parameters corresponding to different Spearman coefficients were obtained for Archimedean copula families, and asymmetric copulas were derived from them. Then, simulation data were obtained for these parameter values to determine the effect of asymmetry on data modeling, and directional dependency measures were found. In addition, the study methodology was applied to automobile bodily injury claims data, which is a real dataset with an asymmetric structure. Here, we used two different asymmetric models: the Khoudraji copula KC models, which are created by multiplying independent and Archimedean copulas, and the LCC models, which are linear-convex combinations of Archimedean copulas. Finally, the appropriate model was selected according to the directional dependency coefficients, and the results were interpreted. Copyright 2021, Yıldız Technical University.
dc.identifier.doi10.14744/sigma.2023.00133
dc.identifier.endpage1193
dc.identifier.issn1304-7191
dc.identifier.issue4
dc.identifier.scopus2-s2.0-85200734728
dc.identifier.scopusqualityQ3
dc.identifier.startpage1183
dc.identifier.urihttps://doi.org/10.14744/sigma.2023.00133
dc.identifier.urihttps://hdl.handle.net/20.500.12587/23466
dc.identifier.volume42
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherYildiz Technical University
dc.relation.ispartofSigma Journal of Engineering and Natural Sciences
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_20241229
dc.subjectArchimedean Copula; Asymmetric Copula; Automobile Bodily Injury Claims Data; Directional Dependence
dc.titleModeling asymmetrically dependent automobile bodily injury claim data using Khoudraji Copulas
dc.typeArticle

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