Dependence Models Arising from the Lagrangian Probability Distributions

摘要

In this article, we propose a method based on the Lagrangian probability distributions for developing new dependence models. Specifically, a generalized Poisson-gamma dependence model is derived. The maximum likelihood estimation (MLE) technique is proposed for estimating the dependence model parameters. Application of the generalized Poisson-gamma dependence model is illustrated by using an operational risks dataset.