Loss and allocated Loss adjustment expenses modelling using symmetric and asymmetric copulas.

• Main Authors: Lee, Jia Yin., Ng, Chiew Yee., Teh, Rong Kang.
• Other Authors: Wu Yuan
• Format: Final Year Project
• Language: English
• Published: 2011
• Subjects: DRNTU::Business::Finance::Actuarial science
• Online Access: http://hdl.handle.net/10356/44084
• Institution: Nanyang Technological University

When a claim report is filed by an insurer, the claim amount is recorded as LOSS and allocated loss adjustment expense (ALAE) is incurred to verify and settle the claim. The knowledge of the relationship between these two variables is crucial for pricing reinsurance premiums. While a mathematical to...