Regression approach to technical reserve calculation

Název práce: Regression approach to technical reserve calculation
Autor(ka) práce: Dao Thi Ha, Phuong
Typ práce: Diploma thesis
Vedoucí práce: Zimmermann, Pavel
Oponenti práce: Sládek, Václav
Jazyk práce: English
Abstrakt:
In this thesis, we consider several existing models in a claims reserving problem. We compare the triangle model and generalized linear models (GLM) through their predictions. Both the theory of GLM as well as reserving theory are discussed. The practical part of our work is focused on the application GLM techniques and comparison of these models on real data represented by a non-life insurance portfolio. Mean squared error of prediction (MSEP) and bootstrapping are used to compare these models. Our goal is to find the structure of the best model suited for the given dataset measured using quality assessments.
Klíčová slova: gamma; bootstrapping; generalized model; non-life insurance; triangle model; claims reserving; over dispersion; mean squared error
Název práce: Regression approach to technical reserve calculation
Autor(ka) práce: Dao Thi Ha, Phuong
Typ práce: Diplomová práce
Vedoucí práce: Zimmermann, Pavel
Oponenti práce: Sládek, Václav
Jazyk práce: English
Abstrakt:
In this thesis, we consider several existing models in a claims reserving problem. We compare the triangle model and generalized linear models (GLM) through their predictions. Both the theory of GLM as well as reserving theory are discussed. The practical part of our work is focused on the application GLM techniques and comparison of these models on real data represented by a non-life insurance portfolio. Mean squared error of prediction (MSEP) and bootstrapping are used to compare these models. Our goal is to find the structure of the best model suited for the given dataset measured using quality assessments.
Klíčová slova: claims reserving; over dispersion; non-life insurance; triangle model; bootstrapping; gamma; mean squared error; generalized models

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: 4. 9. 2017
Datum podání práce: 9. 5. 2018
Datum obhajoby: 11. 6. 2018
Identifikátor v systému InSIS: https://insis.vse.cz/zp/62783/podrobnosti

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