A time for change – an opportunity for big thinking “We agree that NSW workers compensation is a scheme under pressure. Indeed, with each new news release it appears the…
Luke Cassar and his colleagues at the University of New South Wales, Benjamin Avanzi and Bernard Wong, presented a paper to the Institute of Actuaries of Australia Biennial Convention in Sydney in April 2011.
The paper deals with the potential of Lévy copulas as a tool for modelling dependence between compound Poisson processes and their applications in insurance. They analyse characteristics regarding the dependence in frequency and dependence in severity allowed by various Lévy copula models. Through the introduction of new Lévy copulas and comparison with the Clayton Lévy copula, they show that Lévy copulas allow for a great range of dependence structures.