Krämer, Nicole; Brechmann, Eike C.; Silvestrini, Daniel; … - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 829-839
We present a joint copula-based model for insurance claims and sizes. It uses bivariate copulae to accommodate for the dependence between these quantities. We derive the general distribution of the policy loss without the restrictive assumption of independence. We illustrate that this...