Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/44084
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dc.contributor.authorLee, Jia Yin.
dc.contributor.authorNg, Chiew Yee.
dc.contributor.authorTeh, Rong Kang.
dc.date.accessioned2011-05-25T06:47:35Z
dc.date.available2011-05-25T06:47:35Z
dc.date.copyright2011en_US
dc.date.issued2011
dc.identifier.urihttp://hdl.handle.net/10356/44084
dc.description.abstractWhen a claim report is filed by an insurer, the claim amount is recorded as LOSS and allocated loss adjustment expense (ALAE) is incurred to verify and settle the claim. The knowledge of the relationship between these two variables is crucial for pricing reinsurance premiums. While a mathematical tool called the Archimedean family of copulas, which are mostly symmetric copulas, has been commonly used to model LOSS-ALAE relationship, recent findings have suggested the potential use of asymmetric copulas in modelling this relationship to account for the upper tail dependency commonly found in LOSS-ALAE data. In this research, asymmetrical extreme value copulas are used to model the dependencies in addition to Archimedean copulas. Findings show that asymmetrical extreme value copulas Galambos and Gumbel provided a better fit as compared to conventional Archimedean Copula. This result is also substantiated with a pure premium analysis for reinsurance treaties.en_US
dc.format.extent42 p.en_US
dc.language.isoenen_US
dc.rightsNanyang Technological University
dc.subjectDRNTU::Business::Finance::Actuarial scienceen_US
dc.titleLoss and allocated Loss adjustment expenses modelling using symmetric and asymmetric copulas.en_US
dc.typeFinal Year Project (FYP)en_US
dc.contributor.supervisorWu Yuanen_US
dc.contributor.schoolCollege of Business (Nanyang Business School)en_US
dc.description.degreeBUSINESSen_US
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Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)
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