Open Access Open Access  Restricted Access Subscription or Fee Access

Mathematical Modelling for Claim Severities using Normal and t Copulas

Y. Resti, N. Ismail, S. H. Jaaman


This paper proposes the normal and the t copulas for modeling the dependence of claim severities for the Malaysian motor insurance data. The claim severities are fitted using two different assumptions; the independent assumption where the claim types are assumed to be independent, and the dependent assumption where the dependence between claim types are modeled by the normal and the t copulas. The result indicates that the t copula is an improvement over the normal copula, whereas the normal copula is better than the independent model.


Claim severities, dependence, normal copula, t copula.

Full Text:



  • There are currently no refbacks.

Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information.