27 citations · 28 across the 4 of their papers we have counts for
4 papers
A Self-Attention Network for Hierarchical Data Structures with an Application to Claims Management
Leander Löw, Martin Spindler, Eike Brechmann
Insurance companies must manage millions of claims per year. While most of these claims are non-fraudulent, fraud detection is core for insurance companies. The ultimate goal is a…
Total loss estimation using copula-based regression models
Nicole Kraemer, Eike C. Brechmann, Daniel Silvestrini +1
We present a joint copula-based model for insurance claims and sizes. It uses bivariate copulae to accommodate for the dependence between these quantities. We derive the general di…
COPAR - Multivariate time series modeling using the COPula AutoRegressive model
Eike Christian Brechmann, Claudia Czado
Analysis of multivariate time series is a common problem in areas like finance and economics. The classical tool for this purpose are vector autoregressive models. These however ar…
Selecting and estimating regular vine copulae and application to financial returns
Jeffrey Dissmann, Eike Christian Brechmann, Claudia Czado +1
Regular vine distributions which constitute a flexible class of multivariate dependence models are discussed. Since multivariate copulae constructed through pair-copula decompositi…