Application of copula in loss reserving

• Main Authors: Chua, Wai Ming, Ng, Hui Min, Chai, Chung Dih
• Other Authors: Wu Yuan
• Format: Final Year Project
• Language: English
• Published: 2012
• Subjects: DRNTU::Business::Finance::Actuarial science
• Online Access: http://hdl.handle.net/10356/48623
• Institution: Nanyang Technological University

Modelling the outstanding claims amount is critical to loss reserving for property-casualty insurers. The dependence between claim size and development time as well as dependence among multiple loss triangles are particularly crucial for an accurate loss reserving process. However, the traditional p...