Fitting bivariate loss distributions with copulas. (English) Zbl 0931.62044

Summary: Various processes in casualty insurance involve correlated pairs of variables. A prominent example is the loss and allocated loss adjustment expenses on a single claim. In this paper the bivariate copula is introduced and an approach to conducting goodness-of-fit tests is suggested. A large example illustrates the concepts.


62H10 Multivariate distribution of statistics
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