Dependence between loss run-off triangles based on Copulas = 코퓰라를 이용한 손해보험 지급보험금의 상관성 분석

Loss reserving plays a central role in property and casualty insurance, and the current methodologies estimate reserves based on reported loss triangles, either for a single business line or aggregations of multiple dependent lines. However, for more efficient estimation of loss reserving, dependence between the observable losses for each line of business should be considered and a copula is a great tool for estimating the reserves, which have dependence structure. After modifying the reported loss triangle with the copula-based model with Korean data, there is significant gap between original estimated reserves and newly estimated reserves. It shows that the dependence between each single line should not be neglected and need more research applying dependence to estimate reserves much well and more suitable to our Korean nonlife insurances.
Advisors
Kim, Tong Sukresearcher김동석researcher
Publisher
한국과학기술원
Issue Date
2016
Identifier
325007
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 금융공학프로그램, 2016.2 ,[iv, 32 p. :]

Keywords

copulas; dependence; run-off triangles; loss reserving; non-life; 지급보험금; 코퓰라; 손해보험; 상관성; 런오프트라이앵글

URI
http://hdl.handle.net/10203/221192
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=656841&flag=t
Appears in Collection
KGSF-Theses_Master(석사논문)
Files in This Item
There are no files associated with this item.
  • Hit : 202
  • Download : 0
  • Cited 0 times in thomson ci

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0