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TFM-CAF_Ubeda_2020.pdf (1.25 MB)

Document type

Master thesis

Publication date

2020

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cc-by-nc-nd (c) Úbeda Inés, 2020
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/148851

Modelling a Pricing Strategy for ADC Finite Risk Reinsurance Treaties with GLMM Approach

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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.

Description

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

Subject

Reassegurances, Gestió del risc, Tarifes, Treballs de fi de màster

Subject (English)

Reinsurance, Risk management, Tariff, Master's theses

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Màster Oficial - Ciències Actuarials i Financeres (CAF)

Citation

ÚBEDA INÉS, Pau. Modelling a Pricing Strategy for ADC Finite Risk Reinsurance Treaties with GLMM Approach. [consulted: 12 of August of 2026]. Available at: https://hdl.handle.net/2445/148851

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