Modelling Dependence in Insurance Claims Processes with Lévy Copulas
Modelling Dependence in Insurance Claims Processes with Lévy Copulas
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DOI:
10.2139/ssrn.1757461
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发表时间:
2011-02
期刊:
影响因子:
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通讯作者:
Benjamin Avanzi;Luke Cameron Cassar;Bernard Wong
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文献类型:
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作者:
Benjamin Avanzi;Luke Cameron Cassar;Bernard Wong
In this paper we investigate the potential of Levy copulas as a tool for modelling dependence between compound Poisson processes and their applications in insurance. We analyse characteristics regarding the dependence in frequency and dependence in severity allowed by various Levy copula models. Through the