Copula-an alternative approach to IBNR reserving

• Main Authors: Tan, Wei Qiang, Yap, Jen Ming, Yang, Jia Xuan
• 其他作者: Wu Yuan
• 格式: Final Year Project
• 語言: English
• 出版: 2013
• 主題: DRNTU::Business
• 在線閱讀: http://hdl.handle.net/10356/51419
• 機構: 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...