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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/199780
An introduction to the Generalized Multivariate Chain-Ladder Model: The use of the “ChainLadder” package in R.
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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
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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
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EHSAN PERNIA, Goran. An introduction to the Generalized Multivariate Chain-Ladder Model: The use of the “ChainLadder” package in R. [consulted: 9 of June of 2026]. Available at: https://hdl.handle.net/2445/199780