lossalae

The <code>lossalae</code> 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 <code>capped</code>, which
 gives the row names of the indemnity payments that were capped
 at their policy limit.

datasets

Extends simulation, distribution, quantile and 
  density functions to univariate and multivariate parametric 
  extreme value distributions, and provides fitting functions 
  which calculate maximum likelihood estimates for univariate 
  and bivariate maxima models, and for univariate and 
  bivariate threshold models.

Alec Stephenson

Functions for extreme value distributions

lossalae function

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

lossalae: General Liability Claims

Description

Usage

Arguments

source

References