Loss and allocated Loss adjustment expenses modelling using symmetric and asymmetric copulas.
When 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 to...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2011
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/44084 |
| _version_ | 1811680036622696448 |
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| author | Lee, Jia Yin. Ng, Chiew Yee. Teh, Rong Kang. |
| author2 | Wu Yuan |
| author_facet | Wu Yuan Lee, Jia Yin. Ng, Chiew Yee. Teh, Rong Kang. |
| author_sort | Lee, Jia Yin. |
| collection | NTU |
| description | When 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. |
| first_indexed | 2024-10-01T03:18:40Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/44084 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T03:18:40Z |
| publishDate | 2011 |
| record_format | dspace |
| spelling | ntu-10356/440842023-05-19T03:30:03Z Loss and allocated Loss adjustment expenses modelling using symmetric and asymmetric copulas. Lee, Jia Yin. Ng, Chiew Yee. Teh, Rong Kang. Wu Yuan Nanyang Business School DRNTU::Business::Finance::Actuarial science When 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. BUSINESS 2011-05-25T06:47:35Z 2011-05-25T06:47:35Z 2011 2011 Final Year Project (FYP) http://hdl.handle.net/10356/44084 en Nanyang Technological University 42 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Actuarial science Lee, Jia Yin. Ng, Chiew Yee. Teh, Rong Kang. Loss and allocated Loss adjustment expenses modelling using symmetric and asymmetric copulas. |
| title | Loss and allocated Loss adjustment expenses modelling using symmetric and asymmetric copulas. |
| title_full | Loss and allocated Loss adjustment expenses modelling using symmetric and asymmetric copulas. |
| title_fullStr | Loss and allocated Loss adjustment expenses modelling using symmetric and asymmetric copulas. |
| title_full_unstemmed | Loss and allocated Loss adjustment expenses modelling using symmetric and asymmetric copulas. |
| title_short | Loss and allocated Loss adjustment expenses modelling using symmetric and asymmetric copulas. |
| title_sort | loss and allocated loss adjustment expenses modelling using symmetric and asymmetric copulas |
| topic | DRNTU::Business::Finance::Actuarial science |
| url | http://hdl.handle.net/10356/44084 |
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