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

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dc.contributor.advisorBoj del Val, Eva
dc.contributor.advisorCosta Cor, Teresa
dc.contributor.authorEhsan Pernia, Goran
dc.date.accessioned2023-06-25T18:57:00Z
dc.date.available2023-06-25T18:57:00Z
dc.date.issued2023
dc.descriptionTreballs 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 Corca
dc.description.abstractThe 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 usedca
dc.format.extent36 p.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/2445/199780
dc.language.isoengca
dc.rightscc-by-nc-nd (c) Ehsan Pernia, 2023
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessca
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.sourceMàster Oficial - Ciències Actuarials i Financeres (CAF)
dc.subject.classificationAnàlisi multivariablecat
dc.subject.classificationCompanyies d'assegurancescat
dc.subject.classificationR (Llenguatge de programació)cat
dc.subject.classificationTreballs de fi de màstercat
dc.subject.otherMultivariate analysiseng
dc.subject.otherInsurance companyieseng
dc.subject.otherR (Computer program language)eng
dc.subject.otherMaster's theseseng
dc.titleAn introduction to the Generalized Multivariate Chain-Ladder Model: The use of the “ChainLadder” package in R.ca
dc.typeinfo:eu-repo/semantics/masterThesisca

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