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

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.