Modelling Dependence in Insurance Claims Processes with Lévy Copulas

OPER: Analytical (Topic) Pub Date : 2011-02-08 DOI:10.2139/ssrn.1757461

Benjamin Avanzi, Luke Cameron Cassar, Bernard Wong

引用次数: 19

Abstract

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

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基于lsamvy copula的保险索赔过程依赖性建模

在本文中，我们研究了Levy copulas作为模拟复合泊松过程之间依赖关系的工具及其在保险中的应用的潜力。我们分析了各种列维联结模型所允许的频率依赖性和严重依赖性的特征。通过

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

OPER: Analytical (Topic)

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