Description

The lossalae data frame has 1500 rows and 2 columns. The columns contain the indemnity payment (loss), and the allocated loss adjustment expense (alae), both in USD. The latter is the additional expenses associated with the settlement of the claim (e.g. claims investigation expenses and legal fees).

The dataset also has an attribute called capped, which gives the row names of the indemnity payments that were capped at their policy limit.

Usage

Format

This data frame contains the following columns:

Loss

A numeric vector containing the indemnity payments.

ALAE

A numeric vector containing the allocated loss adjustment expenses.

Source

Frees, E. W. and Valdez, E. A. (1998) Understanding relationships using copulas. North American Actuarial Journal, 2, 1–15.

References

Klugman, S. A. and Parsa, R. (1999) Fitting bivariate loss distributions with copulas. Insurance: Mathematics and Economics, 24, 139–148.

Beirlant, J., Goegebeur, Y., Segers, J. and Teugels, J. L. (2004) Statistics of Extremes: Theory and Applications., Chichester, England: John Wiley and Sons.