An Aggregate Claims Model Between Independence and Comonotone Dependence

Abstract

We introduce a simple aggregate claims model, which is able to take into account a continuous range of positive dependence between independence and comonotone dependence. It is based on a multivariate extension of the one-parameter bivariate Fréchet copula, which finds a justification as follows. The chosen model uses only one additional dependence… (More)

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Cite this paper

@inproceedings{Hrlimann2007AnAC, title={An Aggregate Claims Model Between Independence and Comonotone Dependence}, author={Werner H{\"u}rlimann}, booktitle={EUSFLAT Conf.}, year={2007} }