OpVaR (version 1.2)

fitDependency: Function for fitting bivariate Copulas

Description

Function for fitting bivariate dependency between loss frequencies and severities.

Usage

fitDependency(cell, copula_family, method = "mle")

Arguments

cell

a lossdat cell

copula_family

0: independence, 1: Gaussian, 2: t, 3: Clayton, 4: Gumbel, 5: Frank, 6: Joe, see Vine Copula Package ?BiCop encoding

method

as in fitCopula of the copula package. The method "itau" should not be used as dependencies between a continuous and a discrete random variable are modeled.

Value

A BiCop object

References

Schepsmeier et al.: VineCopula package, CRAN

Examples

# NOT RUN {
### Fit Joe Copula
data(lossdat)
fitDependency(lossdat[[1]],6)
# }