Nonparametric Copula Estimation for Mixed Insurance Claim Data

Multivariate claim data are common in insurance applications, for example, claims of each policyholder from different types of insurance coverages. Understanding the dependencies among such multivariate risks is critical to the solvency and profitability of insurers. Effectively modeling insurance claim data is challenging due to their special complexities. At the policyholder level, claim outcomes usually follow a two-part mixed distribution: a probability mass at zero corresponding to no claim and an otherwise positive claim from a skewed and long-tailed distribution. To simultaneously accommodate the complex features of the marginal distributions while flexibly quantifying the dependencies among multivariate claims, copula models are commonly used. Although a substantial body of literature focusing on copulas with continuous outcomes has emerged, some key steps do not carry over to mixed data. In particular, existing nonparametric copula estimators are not consistent for mixed data, and thus copula specification and diagnostics for mixed outcomes have been a problem. However, insurance is a closely regulated industry in which model validation is particularly important, and it is essential to develop a baseline nonparametric copula estimator to identify the underlying dependence structure. In this article, we fill in this gap by developing a nonparametric copula estimator for mixed data. We show the uniform convergence of the proposed nonparametric copula estimator. Through simulation studies, we demonstrate that the proportion of zeros plays a key role in the finite sample performance of the proposed estimator. Using the claim data from the Wisconsin Local Government Property Insurance Fund, we illustrate that our nonparametric copula estimator can assist analysts in identifying important features of the underlying dependence structure, revealing how different claims or risks are related to one another

Synurella Wrzesniowski 1877

Genus <i>Synurella</i> Wrześniowski, 1877 <p> <i>Synurella</i> Wrześniowski, 1877: 403.</p> <p> <i>Goplana</i> Wrześniowski, 1879: 299.</p> <p> <i>Boruta</i> Wrześniowski, 1888: 44.</p> <p> <i>Eosynurella</i> Martynov, 1931: 531.</p> <p> <i>Diasynurella</i> Behning, 1940: 43.</p> Type species <p> <i>Gammarus ambulans</i> F. Müller, 1846 (= <i>Synurella ambulans</i> (F. Müller, 1846) designated by Wrześniowski (1877)).</p> <p> <b>Revised diagnosis (related to sub-family group 1</b> <i>sensu</i> <b>Bousfield 1977: 302)</b></p> <p> Closely allied with <i>Stygobromus</i> Cope, 1872, but with the following characteristic features: head, lateral cephalic lobe broadly rounded without inferior sinus (except <i>Synurella osellai</i>); antenna 2 of male with paddle-shaped calceoli; gnathopod 1 propodi sub-quadrate; gnathopod 2 propodi with well-developed posterior margins, propodi always larger than the same of gnathopod 1; coxal plates 1–3 deep, much longer than broad; coxal plate 4 deep, with excavation; urosomites partially or entirely fused; telson apical margin distinctly notched or lobate; oöstegites 2–5 large, ovoid.</p> Remarks <p> In our opinion, the Crimean form <i>Synurella ambulans taurica</i> Martynov, 1931, with a slightly extended basipodite of pereopod 7, is related to the southern species complex of <i>S. intermedia</i> and <i>S. tenebrarum</i> rather than to the nominative species. However, owing to the poor description it is difficult to reach a definite conclusion.</p>Published as part of <i>Sidorov, Dmitry, Palatov, Dmitry & Ras, Institute of Biology and Soil Science Feb, 2012, Taxonomy of the spring dwelling amphipod Synurella ambulans (Crustacea: Crangonyctidae) in West Russia: with notes on its distribution and ecology, pp. 1-19 in European Journal of Taxonomy 23</i> on pages 4-5, DOI: 10.5852/ejt.2012.23, <a href="http://zenodo.org/record/3858323">http://zenodo.org/record/3858323</a&gt

Synurella ambulans

Synurella ambulans (F. Müller, 1846) (sensu stricto) Figs 2-9 Gammarus ambulans F. Müller, 1846: 296, Taf. 10, figs A-C (original description). Synurella ambulans Stebbing, 1906: 369. Synurella polonica Wrześniowski, 1877: 403. Synurella ambulans meschtscherica Borutzky, 1929: 30, figs 1-17, syn. nov. Synurella meschtscherica Birstein, 1948: 70. Stygobromus ambulans Barnard, 1983: 438. Stygobromus meschtschericus Barnard, 1983: 440. Synurella ambulans – Schäferna 1922: 57, tab. 1 (10), tab. 2 (1-4), text-figs 26-29. — Borutzky 1927: 63. — Schellenberg 1942: 85, Fig. 66. Synurella polonica – Stebbing 1906: 369. — Jarocki & Krzysik 1924: 555. Synurella ambulans meschtscherica – Straškraba 1962: 132. Synurella meschtscherica – Barnard 1958: 75. — Straškraba 1967: 208. — Karaman 1974a: 124. Stygobromus meschtschericus – Starobogatov 1995: 192. — Chertoprud 2006a: 19; 2006b: 382. Diagnosis Medium-sized species with marked secondary sexual dimorphism. Body pigmented. Gnathopod 2 larger than gnathopod 1. Pereopod 6 longer than pereopod 7. Pereopod 7 basis without distinct posterior lobe. Coxal gills on pereopods 2–7, gill 7 very small. Sternal gills arrangement as following: pereonite 2 (-2-), pereonite 3 (-2-), pereonite 6 (1-1), pereonite 7 (1-1), pleonite 1 (1-1). Brood plates 2–5 (oöstegites) rather broad, with long marginal setae. Body length 3.5 – 6.0 mm (♀), 3.0 – 4.5 mm (Ƌ). A distinctive feature of this species is a well-marked broad yellowish spot (Fig. 2A) located on the dorsal surface of the head between eyes. The spot is discernible only in living animals. Material examined GERMANY.All specimens (3 ♀♀, 1 Ƌ) completely dissected and mounted on a single slide per number: [MSU Mb-1146] ♀ (oöstegites developed, setose) 5.7 mm and Ƌ 4.2 mm, [FENU X34906 /Cr-1406] ♀ (oöstegites developed, setose) 5.5 mm and ♀ (oöstegites developed, setose) 5.2 mm. Mecklenburg- Vorpommern, Kassow (53°87’76.3”N 12°07’67.2”E), 21 May 1997, collected by M. Zettler. RUSSIA. All specimens completely dissected and mounted on a single slide [FENU X34906 /Cr-1406], 8 ♀♀, 2 ƋƋ: ♀ (oöstegites developed, setose) 6.0 mm, Pskov area, Pustoshkinsky, near Yezerische Lake, Kholodny brook (56°24’10”N 29°08’33”E), 20 Aug. 2010, collected by D. Palatov; 2 ♀♀ (oöstegites developed, setose) 3.5 mm and 5.5 mm, Bryansk area, Navlinsky, Desna River basin, near Partizanskoye, pond (52°45’77’’N 34°22’72’’E), 17 Sep. 2009, collected by D. Palatov; ♀ (oöstegites developed, non-setose) 5.5 mm and ♀ (oöstegites developed, setose) 4.0 mm, Kaluga area, Ferzikovsky, Oka River basin, spring (54°29’47’’N 36°21’41’’E), 02 Jul. 2007, collected by D. Palatov; ♀ (oöstegites developed, non-setose) 5.2 mm and Ƌ 4.5 mm, Moscow area, Orekhovo-Zuevo, ~ 3.5 km E of Voinovo, Chernaya River (55°50’42’’N 39°04’82’’E), 02 May 2009, collected by D. Palatov; ♀ (oöstegites developed, setose) 5.0 mm. Nerskaya River basin, near Podosinky, brook (55°34’18’’N 38°49’12’’E), 27 Aug. 2005, collected by D. Palatov; 2 ♀♀ (oöstegites developed, non-setose) 4.0 mm and 3.8 mm, ~ 2.5 km NE of Anciferovo, “Anciferovsky Spring” (55°33’85’’N 38°48’17’’E), 8 Jan. 2010, collected by D. Palatov; Ƌ 4.0 mm. Vladimir area, Petushinsky, Markovo, brook (55°52’11’’N 39°17’15’’E), 22 Apr. 2007, collected by D. Palatov. Additional material examined All specimens measured, partially dissected and stored in different vials [IBSS 17/2 SD], ca. 82 ♀♀, 33 ƋƋ: 3 ♀♀, 4 ƋƋ, Vladimir area, Petushinsky, ~ 3 km SE of Usad, small floodplain lake (55°51’27’’N 39°08’76’’E), 02 May 2009, collected by D. Palatov; 4 ♀♀, Gus-Khrustalny, near Shestimirovo, Buzha River basin, brook (55°27’09’’N 40°13’68’’E), 14 May 1994, collected by M. Chertoprud and D. Palatov; 4 ♀♀, Ryazan area, Klepiki, ~ 1.5 km NW Shmeli, Yalma River basin, spring (55°12’93’’N 39°55’63’’E), 02 Oct. 2006, collected by M. Chertoprud and D. Palatov; 38 ♀♀: near Velikodvorye, Yalma River basin, springs (55°12’46’’N 39°59’12’’E), 20 Oct. 2006, collected by D. Palatov; ca. 50 ♀ Ƌ, Kaluga area, Ferzikovsky, ~ 2 km E of Majakovsky, Oka River basin, spring (54°29’47’’N 36°21’41’’E), 30 Apr. 2011, collected by D. Palatov; 5 ♀♀, 4 ƋƋ, Bryansk area, Navlinsky, near Dumcha, Dumcha River basin, springs (52°49’35’’N 34°10’48’’E), 19 Sep. 2009, collected by D. Palatov; 2 ♀♀, Pskov area, Pustoshkinsky, Velikaya River basin, ~ 2 km W of Vysotskoe, brook (56°26’68’’N 29°22’06’’E), 16 Aug. 2010, collected by D. Palatov. Type locality Germany, Mecklenburg-Vorpommern, Greifswald (approx. 54°5’N, 13°23’E), ditches (F. Müller, 1846). Type material stored in the zoological collection of the Greifswald University (Zettler 1998: 57). Redescription Male LENGTH. 4.5 mm, FENU X34906 /Cr-1406. HABITUS. (Fig. 2B) Not stygomorphic. BODY. Slender with elongate appendages, color yellowish. HEAD. Eyes (Figs 2B; 9) vestigial, black; yellow spot (Fig. 2A) located on the dorsal surface of the head between eyes characteristic for living specimens. Antenna 1 (Fig. 4A) 55% length of body, 30% longer than antenna 2; peduncular segments 1–3 in length ratio 1:0.8:0.6; primary flagellum with 13 segments; aesthetascs present. Antenna 2 (Fig. 4B), peduncular segments 4 and 5 in lengths ratio 1:1; flagellum with 5 segments; calceoli present. Left mandible (Fig. 4F) incisor 5-dentate; lacinia mobilis 5-dentate; setal row with 3 serrate setae. Right mandible (Fig. 4G) incisor 5-dentate; lacinia mobilis trifurcate. Molar process (Fig. 4F, G) triturative, with accessory seta. Palp mandible (Fig. 4G) segment 2 slightly longer than segment 3; segment 3 with 1 A-seta, 2 C-setae, 6 D-setae and 4 E-setae. Lower lip (Fig. 4E), inner lobes present; mandibular process indistinct (broad). Maxilla 1 (Fig. 4C), inner plate with 7 plumose setae; outer plate with 7 serrate setae; palp segment 2 about 2x longer than segment 1. Maxilla 2 (Fig. 4D), inner plate with 6 plumose setae. Maxilliped (Fig. 4 I-K) inner plate with 3 strong apical setae; outer plate broad. Foregut lateralia with 8 strong pectinate setae. PEREON. Gnathopod 1 (Fig. 3A), propodus palm beveled, defining angle distinct, palmar modified setae at defining angle present, palm with cutting margin smooth, palm with 19 simple strong setae in two rows; dactylus, inner margin smooth. Gnathopod 2 (Fig. 3B), propodus larger than gnathopod 1 propodus; palm distinctly beveled, defining angle distinct, palmar modified setae at defining angle present, palm with cutting margin smooth, palm with 24 simple strong setae in two rows; dactylus, inner margin smooth. Pereopod 6 longer than pereopod 7. Pereopods 5–7 (Fig. 5 C-E) bases expanded, posterior margins with serration. Pereopods 3–7 (Fig. 5 A-E) dactyli elongated, about 40–50% length of corresponding propodi. Coxal gill 7 present. Paired median sternal gills on pereonite 2 and pereonite 3. Single lateral sternal gills on pereonite 6, pereonite 7 and pleonite 1. PLEON. Epimeron 1 (Fig. 6D), posteroventral corner acute or sub-acute, ventral margin unarmed. Epimera 2–3 (Fig. 6D), posteroventral corner acute or sub-acute, ventral margins armed. Pleopods 1–3 (Fig. 6 A- C), peduncular segments with 2 coupling setae (retinaculae). Uropod 1 (Fig. 6E), inner ramus 80% as long as peduncle, distal peduncular process absent. Uropod 2 (Fig. 6F) about 65% as long as uropod 1, peduncle shorter than inner ramus; inner ramus longer than outer ramus. Uropod 3 (Fig. 6G) uniramous, peduncle or/and lateral margin of ramus armed. Telson (Fig. 6H) not tapered distally, rather elongate, 1.8x longer than broad, about 10% longer than uropod 3, apical margin cleft on 1/3 of total length, with 6 strong notched setae on each lobe. Dimorphism Female LENGTH. 5.5 mm, FENU X34906 /Cr-1406), sexually dimorphic characters. BODY. (Fig. 2C) Stout, appendages shortened.Antenna 1 45% longer than antenna 2. Antenna 2 (Fig. 8B) flagellum with 6 segments; calceoli absent. Gnathopod 1 (Fig. 7A), propodus palm transverse or scarcely sub-transverse with cutting margin acanthaceous, palm with 8 simple strong setae in two rows; dactylus, inner margin with setae. Gnathopod 2 (Fig. 7B), propodus palm with cutting margin acanthaceous, palm with 7 simple strong setae in two rows; dactylus, inner margin with setae. Pereopods 3–7 (FIG. 8 C-E), dactyli about 45–50% length of corresponding propodi. Uropod 1 (Fig. 8G), inner ramus as long as peduncle. Uropod 2 (Fig. 8H) about 60 % as long as uropod 1. Telson (Fig. 8J) somewhat tapered distally, slightly elongate, 1.1x longer than broad, as long as uropod 3. Oöstegites 2–5 large, ovoid with long marginal setae. Variability Karaman (1974a) pointed out a significant variability in several morphological features for S. ambulans. However, in our analysis of individuals from the different parts of its range in Russia and Germany, we could not discover any significant variance in the shape of the lateral cephalic lobes, epimera, uropods, telson or bases of pereopod 7 (Fig. 9). In adults we observed elongation of the pereopod 7 bases and the presence of many robust setae on the lower edge of the epimera 2–3. Ommatidia were larger in young animals but their number was smaller than the one in adults. We also noted a slight variation in the length of the antenna 1 50–55% length of body and 40–45% longer than antenna 2, and a considerable variation in the length of pereopods 3–7 dactyli (35–50% length to corresponding propodi). The number of segments in the flagellum of antenna 1 equals 12–16. The specimens from Kholodny brook, near Yezerische Lake (Russia, Pskov area, Pustokshinsky) have a slightly different setation pattern of maxilliped palp segments 3 and 4 (Fig. 4L), but are otherwise indistinguishable. Remarks Borutzky (1929: 32) adduced several distinctive characters which, in his opinion, were sufficient to distinguish S. a. meschtscherica from S. a. ambulans: relative length of the both antennae, the stronger armament of mouthparts (viz., presence of scopiform bundles of setules on palpi of mandibles and maxilliped, presence of molar setae), armament of uropod 3 peduncle, the shape and armament of telson. After analyzing Borutzky’s description, we are convinced that he has mixed details (p. 33) of males and females without explanation: the cited characters of the antenna 2 and the gnathopods belong to the female, while the telson characters are typical of the male. Moreover, Borutzky (loc. cit.) compared his own “mixed” description to the incomplete description by Schäferna (1922), who also depicted the female’s telson without indication of gender. Borutzky (loc. cit.) evidently did not have Müller’s (1846) original description at hand, in which the latter explains why he attributed subspecies status to his specimens. The comparison of the material of S. ambulans from Russia, previously identified as Synurella meschtscherica, with that from Germany revealed no morphological differences between them. Comparison of the variability of the original samples with species descriptions by Müller (1846), Schäferna (1922) and Borutzky (1929) showed that both species are identical. We therefore consider Synurella ambulans meschtscherica Borutzky, 1929 a junior synonym of nominative S. ambulans (F. Müller, 1846). The taxonomic status and geographic distribution of previously described forms of S. ambulans are in need of a substantial revision. In our opinion the complex classification of S. ambulans is caused by: 1) a poor first description of the species by F. Müller and 2) a relatively wide distribution of the genus in Europe. It is possible that S. ambulans, ranging widely in Europe and Asia with significant variability reported by some authors (see above), is actually a series of several cryptic species. A few discrepancies were found in the comparison with the original description. Borutzky (loc. cit.) reported the body length of individuals within the range of 6–12 mm for mature specimens without an indication of the method of measurement. Our largest individual has a body length of 6.0 mm. We have also studied the samples from Velikodvorskye springs of Ryazan area, previously also explored by Borutzky, where females up to 5.0 mm body length were found. Borutzky (1929: 32) also found a somewhat larger number of segments of the flagellum of the antenna 1, 18–24 (males) and 16–22 (females), and reported on eyeless individuals which are absent in our collections. However, the observed variability was not documented by this author, eyeless individuals were not described and had not been given a special status. The inaccuracy of Borutzky’s description confirmed our doubts about the validity of S. meschtscherica and convinced us that only one form of Synurella is present in the Meschtschera Lowland. Distribution RUSSIA. Pskov area: Pustoshkinsky region. Vladimir area: Petushinsky and Gus-Khrustalny regions. Moscow area: Orekhovo-Zuevo, Egoryevsk and Shatura regions (Chertoprud 2006a, 2006b). Ryazan area, Klepiki (Borutzky 1927, 1929). Kaluga area: Ferzikovsky region. Bryansk area: Navlinsky region. Although S. ambulans was found in extensive territories in West Russia, it was absent in a number of different springs (see map) with a rich crenophilous fauna. This mosaic distribution is apparently caused by environmental factors. Synurella ambulans has been reported from many countries situated on the Great European Plain including Belgium (Boets et al. 2010), Germany (Heckes et al. 1996; Zettler 1998; Eggers & Martens 2001), Poland (Konopacka & Sobocinska 1992), Lithuania (Arbačiauskas 2008) and Belarus (Giginyak & Moroz 2000). Ecology Stygophile, predominantly occupying semi-subterranean habitats. Biotopes mostly including wetlands, bogs, wetland areas of streams with swampy shores nearly everywhere overgrown with Alnus (see Borutzky 1929). Synurella ambulans dwells in various springs, stagnant parts of the rivers and brooks connected with the ground outlets of subterranean waters, frequently associated with the asellid isopod Asellus aquaticus (Linnaeus, 1758). A characteristic features of all microhabitats are their stagnant or very slowly flowing waters, not exceeding 0.1 m /sec; a water temperature generally ranging between 2.0 and 16.0 °C, a low oxygen concentration of 3.0– 9.0 О 2 mg /l, a рН between 5.0–8.0 and low mineralization not higher than 197.5–353.1 mg /l (once 510.0 mg/l) (Nesemann et al. 1995; Giginyak & Moroz 2000; Chertoprud 2006a). Springs are often covered with Lemna and Hydrocharis, or densely grown with Elodea and Fontinalis; bottoms are composed of detritus, sand, mud, snags and leaf litter. Dendrocometes paradoxus Stein, 1852 (Protozoa, Infusoria, Suctoria) is a common ectoparasite on the coxal gills of S. ambulans (see Taylor & Sanders 2001). The rare findings of S. ambulans in a number of a small floodplain lakes in the spring could be explained by the flood drift. However, most interesting is the accidental discovery (by DP) of a mass congestion of S. ambulans on the shallows of a large lake in the Velikaya River basin (Pskov area) in winter. It is possible that these crustaceans can survive adverse winter conditions by “warming up” near oozing from the bottom fontanels.Published as part of Sidorov, Dmitry, Palatov, Dmitry & Ras, Institute of Biology and Soil Science Feb, 2012, Taxonomy of the spring dwelling amphipod Synurella ambulans (Crustacea: Crangonyctidae) in West Russia: with notes on its distribution and ecology, pp. 1-19 in European Journal of Taxonomy 23 on pages 5-14, DOI: 10.5852/ejt.2012.23, http://zenodo.org/record/385832

Taxonomy of the spring dwelling amphipod Synurella ambulans (Crustacea: Crangonyctidae) in West Russia: with notes on its distribution and ecology

Sidorov, Dmitry, Palatov, Dmitry, Ras, Institute of Biology and Soil Science Feb (2012): Taxonomy of the spring dwelling amphipod Synurella ambulans (Crustacea: Crangonyctidae) in West Russia: with notes on its distribution and ecology. European Journal of Taxonomy 23: 1-19, DOI: 10.5852/ejt.2012.2

Data for: Forecasting compositional risk allocations

The S&P 500 index, the DAX index, and the CAC 40 index daily values from January 1st, 2000, to December 31st, 2016

Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities

We analyze the impact of short-run (90 days) and long-run (30 years) earthquake risk on real estate transaction prices in five Japanese cities (Tokyo, Osaka, Nagoya, Fukuoka, and Sapporo), using quarterly data over the period 2006–2015. We exploit a rich panel dataset (331,343 observations) with property characteristics, ward attractiveness information, macroeconomic variables, and long-run seismic hazard data, supplemented with short-run earthquake probabilities generated from a seismic excitation model using historical earthquake occurrences. We design a hedonic property price model that allows for subjective probability weighting, employ a multivariate error components structure, and develop associated maximum likelihood estimation and variance computation procedures. Our approach enables us to identify the total compensation for earthquake risk embedded in property prices, to decompose this into pieces stemming from short-run and long-run risk, and to distinguish between objective and subjectively weighted (“distorted”) earthquake probabilities. We find that objective long-run earthquake probabilities have a statistically significant negative impact on property prices, whereas short-run earthquake probabilities become statistically significant only when we allow them to be distorted. The total compensation for earthquake risk amounts to an average –2.0% of log property prices, slightly more than the annual income of a middle-income Japanese household. Supplementary materials for this article, including a standardized description of the materials available for reproducing the work, are available as an online supplement

VerbCL Dataset

VerbCL is a dataset of US court opinions, where verbatim quotes have been mined

Artistic Visual Storytelling

This directory contains the necessary files for the Artistic Visual Storytelling task. For a short dataset description, please, read the README.md. Import note: The Artistic Visual Storytelling dataset can be used only for non-commercial academic research purposes. If you use this dataset, please cite it as below: Efthymiou, A.; Rudinac, S.; Kackovic, M.; Worring, M.; Wijnberg, N.M. (2023): Artistic Visual Storytelling. University of Amsterdam / Amsterdam University of Applied Sciences. Dataset. https://doi.org/10.21942/uva.20050970.v

Socio-economic data from slums in Bangalore, India

We collected the data presented in this paper in partnership with the slum dwellers in order to overcome the challenges such as validity and efficacy of self-reported data. Our survey of Bangalore slums covered 36 slums across the city. The slums were chosen based on stratification criteria which included the geographical location of the slums, whether the slums were resettled or rehabilitated, slums in planned localities, the size of the slum and the religious profile. This paper describes the relational model of the slum dataset, the variables in the dataset, the variables constructed for analysis and the issues identified with the dataset. The data collected includes around 267,894 data points spread over 242 questions for 1107 households. The dataset can facilitate interdisciplinary research on spatial and temporal dynamics of urban poverty and well-being in the context of rapid urbanization of cities in developing countries