Risk analysis of the copula dependent aggregate discounted claims with Weibull inter-arrival time
We model the recursive moments of aggregate discounted claims, assuming the inter-claim arrival time follows a Weibull distribution to accommodate overdispersed and underdispersed data set. We use a copula to represent the dependence structure between the inter-claim arrival time and its subsequent...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2021
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| Online Access: | http://journalarticle.ukm.my/17570/1/24.pdf http://journalarticle.ukm.my/17570/ https://www.ukm.my/jsm/malay_journals/jilid50bil7_2021/KandunganJilid50Bil7_2021.html |
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| Institution: | Universiti Kebangsaan Malaysia |
| Language: | English |