An exploration of non-exponential family distributions in run-off triangle.

• Main Authors: Teo, Wesley., Setiadi, Albertus Teddy., Szeto, Wing Ki.
• Other Authors: Li Ka Ki Jackie
• Format: Final Year Project
• Language: English
• Published: 2011
• Subjects: DRNTU::Business::Finance::Actuarial science
• Online Access: http://hdl.handle.net/10356/44195
• Institution: Nanyang Technological University

The conventional way to model claims liabilities is by using distributions from the exponential family to fit run-off triangles. In this research, we explore the possibilities of using distributions from non-exponential family to model claim liabilities. Five such distributions are applied to three...