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http://hdl.handle.net/2445/199780| Title: | An introduction to the Generalized Multivariate Chain-Ladder Model: The use of the “ChainLadder” package in R. |
| Author: | Ehsan Pernia, Goran |
| Director/Tutor: | Boj del Val, Eva Costa Cor, Teresa |
| Keywords: | Anàlisi multivariable Companyies d'assegurances R (Llenguatge de programació) Treballs de fi de màster Multivariate analysis Insurance companyies R (Computer program language) Master's theses |
| Issue Date: | 2023 |
| Abstract: | The aim of this work is to deepen into a stochastic variant of the classic Chain-Ladder model to calculate claims reserves of an insurance company. Specifically, we will focus on the stochastic Generalized Multivariate Chain-Ladder model (GMCL). First, the classic deterministic method will be explained. Then, we will introduce the stochastic method and develop a practical example by using both methods to see the differences in the estimations. The function MultiChainLadder of the ChainLadder package for R (R Development Core Team, 2023) will be used |
| Note: | Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2022-2023, Tutores: Eva Boj del Val and Teresa Costa Cor |
| URI: | http://hdl.handle.net/2445/199780 |
| Appears in Collections: | Màster Oficial - Ciències Actuarials i Financeres (CAF) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| TFM_CAF_Ehsan Pernia_2023.pdf | 1.39 MB | Adobe PDF | View/Open |
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