Statistical models for an MTPL portfolio
| Název práce: | Statistical models for an MTPL portfolio |
|---|---|
| Autor(ka) práce: | Pirozhkova, Daria |
| Typ práce: | Diploma thesis |
| Vedoucí práce: | Zimmermann, Pavel |
| Oponenti práce: | Malá, Ivana |
| Jazyk práce: | English |
| Abstrakt: | In this thesis, we consider several statistical techniques applicable to claim frequency models of an MTPL portfolio with a focus on overdispersion. The practical part of the work is focused on the application and comparison of the models on real data represented by an MTPL portfolio. The comparison is presented by the results of goodness-of-fit measures. Furthermore, the predictive power of selected models is tested for the given dataset, using the simulation method. Hence, this thesis provides a combination of the analysis of goodness-of-fit results and the predictive power of the models. |
| Klíčová slova: | Poisson model; overdispersion; cross-validation; predictive power; Overdispersed Poisson model; claim frequency; pricing model; goodness-of-fit; Negative Binomial model; count data model |
| Název práce: | Statistical models for an MTPL portfolio |
|---|---|
| Autor(ka) práce: | Pirozhkova, Daria |
| Typ práce: | Diplomová práce |
| Vedoucí práce: | Zimmermann, Pavel |
| Oponenti práce: | Malá, Ivana |
| Jazyk práce: | English |
| Abstrakt: | In this thesis, we consider several statistical techniques applicable to claim frequency models of an MTPL portfolio with a focus on overdispersion. The practical part of the work is focused on the application and comparison of the models on real data represented by an MTPL portfolio. The comparison is presented by the results of goodness-of-fit measures. Furthermore, the predictive power of selected models is tested for the given dataset, using the simulation method. Hence, this thesis provides a combination of the analysis of goodness-of-fit results and the predictive power of the models. |
| Klíčová slova: | pricing model; claim frequency; Negative Binomial model; Overdispersed Poisson model; Poisson model; count data model; overdispersion; cross-validation; predictive power; goodness-of-fit |
Informace o studiu
| Studijní program / obor: | Kvantitativní metody v ekonomice/Quantitative Economic Analysis |
|---|---|
| Typ studijního programu: | Magisterský studijní program |
| Přidělovaná hodnost: | Ing. |
| Instituce přidělující hodnost: | Vysoká škola ekonomická v Praze |
| Fakulta: | Fakulta informatiky a statistiky |
| Katedra: | Katedra statistiky a pravděpodobnosti |
Informace o odevzdání a obhajobě
| Datum zadání práce: | 26. 10. 2016 |
|---|---|
| Datum podání práce: | 18. 5. 2017 |
| Datum obhajoby: | 8. 6. 2017 |
| Identifikátor v systému InSIS: | https://insis.vse.cz/zp/59426/podrobnosti |