Risk analysis of the copula dependent aggregate discounted claims with Weibull inter-arrival time

• Main Authors: Siti Norafidah Mohd Ramli,, Sharifah Farah Syed Yusoff Alhabshi,, Nur Atikah Mohamed Rozali,
• Format: Article
• Language: English
• Published: Penerbit Universiti Kebangsaan Malaysia 2021
• Online Access: http://journalarticle.ukm.my/17570/1/24.pdf; http://journalarticle.ukm.my/17570/; https://www.ukm.my/jsm/malay_journals/jilid50bil7_2021/KandunganJilid50Bil7_2021.html

We model the recursive moments of aggregate discounted claims, assuming the inter-claim arrival time follows a Weibull distribution to accommodate overdispersed and underdispersed data set. We use a copula to represent the dependence structure between the inter-claim arrival time and its subsequent...