You are here: Home → Collaboration → Forum → Internal Modelling → Dependency approach for Collective P&C UW risk models

Dependency approach for Collective P&C UW risk models

Posted by Ali Majidi at November 06. 2008

As we have now a Copula model in P1RAT, the question for me is:

What types of Copula do we need for practical best practice dependency modeling?
What additional infrastructure do we need for dependency modeling
In particular is it enough to allow severity dependency (as we have now)? Or do we need to model Frequency dependency (HowTo with Copula)

Would be nice to have a constructive discussions (with references) about that.

Cheers!

Ali