fitDependency: Function for fitting bivariate Copulas

Description Usage Arguments Value Author(s) References Examples

View source: R/fitDependency.R

Description

Function for fitting bivariate dependency between loss frequencies and severities.

Usage

1
fitDependency(cell, copula_family, method = "mle")

Arguments

cell

a lossdat cell

copula_family

0: independence, 1: Gaussian, 2: t, 3: Clayton, 4: Gumbel, 5: Frank, 6: Joe, see Vine Copula Package ?BiCop encoding

method

as in fitCopula of the copula package. The method "itau" should not be used as dependencies between a continuous and a discrete random variable are modeled.

Value

A BiCop object

Author(s)

Marius Pfeuffer

References

Schepsmeier et al.: VineCopula package, CRAN

Examples

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2
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### Fit Joe Copula
data(lossdat)
fitDependency(lossdat[[1]],6)

OpVaR documentation built on May 29, 2018, 9:04 a.m.