Dependence Models Arising from the Lagrangian Probability Distributions

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.