Maximum likelihood estimates for multivariate distributions

Consider our loss-ALAE dataset, and - as in Frees & Valdez (1998) - let us fit a parametric model, in order to price a reinsurance treaty. The dataset is the following, library(evd) data(lossalae) Z=lossalae X=Z[,1];Y=Z[,2] The first step can be to estimate marginal distributions, independently. Here, we consider lognormal distributions for both components, Fempx=function(x) mean(X=x) Fx=Vectorize(Fempx) u=exp(seq(2,15,by=.05)) plot(u,Fx(u),log="x",type="l", + xlab="loss (log scale)")..