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