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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 Treballs de fi de màster Reinsurance Risk management Tariff Master's 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 | Size | Format | |
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TFM-CAF_Ubeda_2020.pdf | 1.28 MB | Adobe PDF | View/Open |
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