Copula-an alternative approach to IBNR reserving

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

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...