loss: LOSS and ALAE Insurance Data
Description
Indemnity payment and allocated loss adjustment expense from an insurance
company.
Usage
data(loss, package="copula")
Format
A data frame with 1500 observations of the following 4 variables:
loss
a numeric vector of loss amount up to the limit
.
alae
a numeric vector of the corresponding allocated loss
adjustment expense.
limit
a numeric vector of limit (-99 means no limit).
censored
1 means censored (limit reached) and 0 otherwise.
References
Frees, E. and Valdez, E. (1998). Understanding relationships using
copulas. North American Actuarial Journal 2, 1--25.