Multivariate longitudinal modeling of insurance company expenses

► We examine three types of operating expenses of property casualty insurers simultaneously in a panel data context. ► A multivariate longitudinal model is proposed to accommodate skewness and heavy tails of expenses. ► In-sample and out-of-sample validation methods are discussed for elliptical copulas. ► We found that underwriting expenses and loss adjustment expenses are complements rather than substitutes. ► The model is shown to be successful in efficiency classification.