Advanced statistical methods in non-life insurance reserving

Název práce: Advanced statsitical methods in non-life insurance reserving
Autor(ka) práce: Kabdenova, Malika
Typ práce: Diploma thesis
Vedoucí práce: Zimmermann, Pavel
Oponenti práce: Gerthofer, Michal
Jazyk práce: English
Abstrakt:
Reserving has always been an important task for insurance companies. With the adoption of Solvency II directive, development of stochastic modelling for that purpose is becoming increasingly important as uncertainty of the predictions is legally required. The generalized linear model (GLM) is a popular method used for claims reserving, however, there is a need for development of models with more sophisticated correlation structures without the restrictive assumption of independence of incremental claims. This thesis implements the generalized linear mixed model (GLMM) on aggregated insurance dataset using more than one random effect. Both the theory behind GLM and GLMM as well reserving theory were discussed. Practical application of one GLM and three different GLMM models on a real dataset and their further comparison and diagnostics were carried out. The goal was to find the structure of the model best suited for the given dataset measured using several criteria.
Klíčová slova: claims reserving; mixed models; generalized linear mixed model; random effects; non-life insurance; panel data; generalized linear models
Název práce: Advanced statistical methods in non-life insurance reserving
Autor(ka) práce: Kabdenova, Malika
Typ práce: Diplomová práce
Vedoucí práce: Zimmermann, Pavel
Oponenti práce: Gerthofer, Michal
Jazyk práce: English
Abstrakt:
Reserving has always been an important task for insurance companies. With the adoption of Solvency II directive, development of stochastic modelling for that purpose is becoming increasingly important as uncertainty of the predictions is legally required. The generalized linear model (GLM) is a popular method used for claims reserving, however, there is a need for development of models with more sophisticated correlation structures without the restrictive assumption of independence of incremental claims. This thesis implements the generalized linear mixed model (GLMM) on aggregated insurance dataset using more than one random effect. Both the theory behind GLM and GLMM as well reserving theory were discussed. Practical application of one GLM and three different GLMM models on a real dataset and their further comparison and diagnostics were carried out. The goal was to find the structure of the model best suited for the given dataset measured using several criteria.
Klíčová slova: claims reserving; non-life insurance; generalized linear models; generalized linear mixed model; random effects; mixed models; panel data

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: 27. 10. 2016
Datum podání práce: 21. 12. 2017
Datum obhajoby: 31. 1. 2018
Identifikátor v systému InSIS: https://insis.vse.cz/zp/59445/podrobnosti

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