R: LOSS and ALAE Insurance Data

loss {copula}

R Documentation

LOSS and ALAE Insurance Data

Indemnity payment and allocated loss adjustment expense from an insurance company.

data(loss, package="copula")

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.

Frees, E. and Valdez, E. (1998). Understanding relationships using copulas. North American Actuarial Journal 2, 1–25.

data(loss)

[Package copula version 1.1-0 Index]