Monte Carlo Simulation of the Moments of a Copula-Dependent Risk Process with Weibull Interwaiting Time
The widely used Poisson count process in insurance claims modeling is no longer valid if the claims occurrences exhibit dispersion. In this paper, we consider the aggregate discounted claims of an insurance risk portfolio under Weibull counting process to allow for dispersed datasets. A copula is us...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-06-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/9/6/109 |