Mathematical Modelling for Claim Severities using Normal and t Copulas

Resti, Yulia (2012) Mathematical Modelling for Claim Severities using Normal and t Copulas. International Journal of Applied Mathematics & Statistics, 27 (3). pp. 8-19. ISSN 0973-7545

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Abstract

This paper proposes the normal and the t copulas for modeling the dependence of claim severities for the Malaysian motor insurance data. The claim severities are fitted using two different assumptions; the independent assumption where the claim types are assumed to be independent, and the dependent assumption where the dependence between claim types are modeled by the normal and the t copulas. The result indicates that the t copula is an improvement over the normal copula, whereas the normal copula is better than the independent model.

Item Type:	Article
Subjects:	#3 Repository of Lecturer Academic Credit Systems (TPAK) > Articles Access for TPAK (Not Open Sources)
Divisions:	08-Faculty of Mathematics and Natural Science > 44201-Mathematics (S1)
Depositing User:	Mr. Irsyadi Yani, S.T., M.Eng., Ph.D.
Date Deposited:	28 Apr 2023 16:04
Last Modified:	28 Apr 2023 16:04
URI:	http://repository.unsri.ac.id/id/eprint/97995

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