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Mathematical Modelling for Claim Severities using Normal and t Copulas

Y. Resti, N. Ismail, S. H. Jaaman

Abstract


This paper proposes the normal and the t copulas for modeling the dependence of claim severities for the Malaysian motor insurance data. The claim severities are fitted using two different assumptions; the independent assumption where the claim types are assumed to be independent, and the dependent assumption where the dependence between claim types are modeled by the normal and the t copulas. The result indicates that the t copula is an improvement over the normal copula, whereas the normal copula is better than the independent model.

Keywords


Claim severities, dependence, normal copula, t copula.

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