Luke Cameron Cassar

University of New South Wales (UNSW) - School of Actuarial Studies

Sydney, NSW 2052

Australia

  • University of New South Wales (UNSW) - School of Actuarial Studies

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Modelling Dependence in Insurance Claims Processes with Lévy Copulas

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Citation 4

Modelling Dependence in Insurance Claims Processes with Lévy Copulas

UNSW Australian School of Business Research Paper No. 2011ACTL01
Number of pages: 28 Posted: 04 Aug 2011
Benjamin Avanzi, Luke Cameron Cassar and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 447 (118,528)
Citation 4

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Lévy Copula, Dependence, Compound Poisson Process, Insurance, Real Data

Modelling Dependence in Insurance Claims Processes with Lévy Copulas

ASTIN Bulletin, Vol. 41, No. 2, pp. 575-609
Number of pages: 25 Posted: 03 Aug 2011 Last Revised: 06 Jan 2012
Benjamin Avanzi, Luke Cameron Cassar and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 162 (333,857)

Abstract:

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Lévy Copula, Dependence, Compound Poisson Process, Insurance, Real Data