loss {copula}R Documentation

LOSS and ALAE Insurance Data

Description

Indemnity payment and allocated loss adjustment expense from an insurance company.

Usage

data(loss)

Format

A data frame with 1500 observations on the following 4 variables.

loss
a numeric vector of loss amount up to the limit.
alae
a numeric vector of the 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.

Examples

data(loss)

[Package copula version 0.8-12 Index]