Copula-an alternative approach to IBNR reserving

This project examines the dependence structure between 2 variables – developmental time and claim size using copulas, in order to evaluate the incurred but not reported (IBNR) claim reserves more accurately. It also seeks to present a general framework with clear steps and R codes for researchers or...

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Bibliographic Details
Main Authors: Tan, Wei Qiang, Yap, Jen Ming, Yang, Jia Xuan
Other Authors: Wu Yuan
Format: Final Year Project
Language:English
Published: 2013
Subjects:
Online Access:http://hdl.handle.net/10356/51419
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Institution: Nanyang Technological University
Language: English