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

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