The partially decomposed bodies of Santhosh Kumar, his wife Manju and nine-year-old daughter Gouri were found in their flat near NMC Hospital here on Tuesday.
The couple resorted to the extreme step due to financial woes, police said.
Manju was found with both her wrists cut, while Kumar had stab injuries on various parts of his body. The police said the child, a fourth grade student, had been smothered to death using a pillow.
According to the police, Kumar had some cases registered against him in Dubai.
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The bodies were referred to the General Department of Forensic Medicines and will be handed over to the relatives after legal and administrative procedures are completed.
Kumar's trading business in Dubai suffered losses and a case was filed against him after employees were not paid for over a year.
Kumar, who hails from Kerala owns a film production company Souparnika Films and was a co-producer of the hit Malayalam movie 'Madambi'.