Economic capital models in life insurance

Statistical actuarial estimation of the Capitation Payment Unit from copula functions and deep learning: historical comparability analysis for the Colombian health system, 2015–2021

“…In the field of actuarial science, copulas have started to obtain a preponderance at the end of the last century and the first decade of the current century, due to their benefits, in particular the high flexibility of modeling the joint distribution of a random n-tuple [7,8,14,15]. This statistical technique has been applied in several fields of investigation related to the payment of claims, pricing, active valorization and, with less relevance, stockpile computation, highlighting the opportunity to model the asymmetric dependence in the tails [11,19,20,46,47,51]. More recently, copulas have been applied in collective risk models and deductible price-fixing, furthermore, improvements in the computational efficiency and how to provide intuitive interpretations of the dependence structure have been investigated [13,39,48].…”