Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series.bivariate chi-square statistic, risk management., copulas, daily equity returns

Economic indicators for automobile claim frequencies

Abstract: This article examines the relationship between observed claim frequencies in the automobile insurance line and the evolution of selected economic magnitudes. From a variety of economic variables, we aim to identify the main factors affecting claim frequencies, while controlling for other legislative and demographic factors. Through a dynamic regression model, the analysis is conducted for three different categories of vehicles and for a variety of coverages. A comprehensive dataset from the main Spanish insurance companies is used to calibrate the model. The evidence might assist companies to improve ratemaking.Resumen: Este artículo examina la relación entre las frecuencias de siniestralidad ob- servadas en la línea de seguros de automóviles y la evolución de magnitudes económicas seleccionadas. A partir de una variedad de variables económicas, nuestro objetivo es identificar los principales factores que afectan a las frecuen- cias de siniestralidad, controlando al mismo tiempo otros factores legislativos y demográficos. A través de un modelo de regresión dinámica, el análisis se realiza para tres categorías diferentes de vehículos y para distintas coberturas. Se utiliza una base de datos de las principales compañías de seguros españolas para calibrar el modelo. La evidencia podría ayudar a las empresas a mejorar su tarificación