loss {copula}

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.

Examples

data(loss)