Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/148851
Title: Modelling a Pricing Strategy for ADC Finite Risk Reinsurance Treaties with GLMM Approach
Author: Úbeda Inés, Pau
Director/Tutor: Sarrasí Vizcarra, Francisco Javier
Boj del Val, Eva
Keywords: Reassegurances
Gestió del risc
Tarifes
Tesis de màster
Reinsurance
Risk management
Tariff
Masters theses
Issue Date: 2020
Abstract: Using RBNS (Reported But Not Settled) claims data from an accident business portfolio with 11 accident years and 5 development years, this paper conducts a case study that attempts to establish a comparison of the goodness of fit of Chain Ladder and Generalised Linear Mixed Models made with their mean squared errors once outstanding claim payments are estimated with R software and, afterwards, show a pricing strategy for a quota share, excess and at-the-money adverse development cover (ADC) types of finite risk reinsurance contract. In this thesis, finite risk treaties are disclosed putting the focus on LPT and ADC transactions.
Note: Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2019-2020, Tutor: Francisco Javier Sarrasí Vizcarra, Eva Boj del Val
URI: http://hdl.handle.net/2445/148851
Appears in Collections:Màster Oficial - Ciències Actuarials i Financeres (CAF)

Files in This Item:
File Description SizeFormat 
TFM-CAF_Ubeda_2020.pdf1.28 MBAdobe PDFView/Open


This item is licensed under a Creative Commons License Creative Commons