Risk analysis of the copula dependent aggregate discounted claims with Weibull inter-arrival time

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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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Bibliographic Details
Main Authors:	Siti Norafidah Mohd Ramli, Sharifah Farah Syed Yusoff Alhabshi, Nur Atikah Mohamed Rozali
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2021
Online Access:	http://journalarticle.ukm.my/17570/ http://journalarticle.ukm.my/17570/1/24.pdf

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