Jeong, Himchan; Dey, Dipak - In: Risks : open access journal 8 (2020) 4/111, pp. 1-23
This article introduces a novel use of the vine copula which captures dependence among multi-line claim triangles, especially when an insurance portfolio consists of more than two lines of business. First, we suggest a way to choose an optimal joint loss development model for multiple lines of...
