A dependent aggregated risk model and its properties

Abstract

In this paper the individual risk model is generalized by considering a dependent relationship between claim sizes and premiums. This dependence structure is described by using Huang and Kots copula which is an extension of the well-known Farlie-Gumbel-Morgenstern (FGM) copula. Some statistical properties of this model are calculated. Moreover, the loss probability, the value at risk (VaR) and the tail value at risk (TVaR) are used to quantify the risk of the models.