dc.contributor.author | Weke, Patrick | |
dc.contributor.author | Ratemo, Caroline | |
dc.date.accessioned | 2013-05-07T10:07:49Z | |
dc.date.available | 2013-05-07T10:07:49Z | |
dc.date.issued | 2013 | |
dc.identifier.citation | Applied Mathematical Sciences, Vol. 7, 2013, no. 25, 1223 - 1237 | en |
dc.identifier.uri | http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/19741 | |
dc.description.abstract | Claims reserving for general insurance business has developed significantly over
the recent past. There has always been a slight mystery in short-term insurance
contracts of how to go about reserving for claims, which have not yet come in,
and are still in some sense of figment of the future. Insurance claims variables are
non-normally distributed and therefore a measure that will capture the dependence
among the variables better than the usual correlation is employed. One such
method is the use of copulas. The object of this paper, therefore, is to use the
Archimedean copula, Clayton copula and Frank copula to estimate outstanding
incurred but not reported (IBNR) claim reserves. A comparison of the estimates of
outstanding claim reserves obtained from different Archimedean copulas is also
presented. | en |
dc.language.iso | en | en |
dc.subject | IBNR claim reserves | en |
dc.subject | Archimedean copula | en |
dc.subject | Clayton copula, | en |
dc.subject | Frank copula | en |
dc.title | Estimating IBNR Claims Reserves for General Insurance Using Archimedean Copulas | en |
dc.type | Article | en |
local.publisher | School of Mathematics, University of Nairobi, Nairobi, Kenya | en |