An introduction to the Generalized Multivariate Chain-Ladder Model: The use of the “ChainLadder” package in R.

Ehsan Pernia, Goran

Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/199780

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DC Field	Value	Language
dc.contributor.advisor	Boj del Val, Eva	-
dc.contributor.advisor	Costa Cor, Teresa	-
dc.contributor.author	Ehsan Pernia, Goran	-
dc.date.accessioned	2023-06-25T18:57:00Z	-
dc.date.available	2023-06-25T18:57:00Z	-
dc.date.issued	2023	-
dc.identifier.uri	http://hdl.handle.net/2445/199780	-
dc.description	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	ca
dc.description.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	ca
dc.format.extent	36 p.	-
dc.format.mimetype	application/pdf	-
dc.language.iso	eng	ca
dc.rights	cc-by-nc-nd (c) Ehsan Pernia, 2023	-
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/	*
dc.source	Màster Oficial - Ciències Actuarials i Financeres (CAF)	-
dc.subject.classification	Anàlisi multivariable	cat
dc.subject.classification	Companyies d'assegurances	cat
dc.subject.classification	R (Llenguatge de programació)	cat
dc.subject.classification	Treballs de fi de màster	cat
dc.subject.other	Multivariate analysis	eng
dc.subject.other	Insurance companyies	eng
dc.subject.other	R (Computer program language)	eng
dc.subject.other	Master's theses	eng
dc.title	An introduction to the Generalized Multivariate Chain-Ladder Model: The use of the “ChainLadder” package in R.	ca
dc.type	info:eu-repo/semantics/masterThesis	ca
dc.rights.accessRights	info:eu-repo/semantics/openAccess	ca
Appears in Collections:	Màster Oficial - Ciències Actuarials i Financeres (CAF)

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