An Aggregate Claims Model Between Independence and Comonotone Dependence

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 parameter, which is chosen such that it yields the most conservative model of aggregate claims with respect to the concordance order for the bivariate margins of this model. A possible numerical implementation of the aggregate claims distribution of the constructed model is proposed.

• Type: Conference
• Year: 2007
• Where: EUSFLAT
• Authors: Werner Hürlimann
• Keywords: Aggregate Claims, Aggregate Claims Model, Bivariate Fréchet Copula, EUSFLAT 2007, Fuzzy Logic