“…As a second application, a random effects model for correlated claim frequency and severity is worked out. While the existence of such a correlation and its economic significance is well documented in the literature (see e.g., Park, Kim, & Ahn, 2018), existing multivariate random effects based models capable of capturing dependence between claim frequency and severity typically suffer from computational intractability (see, e.g., Baumgartner, Gruber, & Czado, 2015; Czado & Gschlossl, 2007; Oh, Shi, & Ahn, 2020). Some recent papers try to evade this burden by letting the number of claims enter as a covariate in the severity model, without introducing random effect for the severity component (see, e.g., Garrido, Genest, & Schulz, 2016; Jeong, Valdez, Ahn, & Park, 2017; Park et al, 2018).…”