What is it about?
A simple model to measure, test and account for possible dependence between claim frequency and claim severity in insurance portfolios.
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Why is it important?
Classical aggregate claims models assume independence between claim frequency and severity. In some lines of business the empirical evidence is that a significant positive or negative dependence exists in different insurance portfolios.
Perspectives
This was the Master's thesis project we proposed to Juliana Schulz. She did a very good job and it ultimately culminated in a publication.
Distinguished Professor Emeritus Jose Garrido
Concordia University
Read the Original
This page is a summary of: Generalized linear models for dependent frequency and severity of insurance claims, Insurance Mathematics and Economics, September 2016, Elsevier,
DOI: 10.1016/j.insmatheco.2016.06.006.
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