Regression approach to technical reserve calculation
Název práce: | Regression approach to technical reserve calculation |
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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 |
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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 |
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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 |
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Datum podání práce: | 9. 5. 2018 |
Datum obhajoby: | 11. 6. 2018 |
Identifikátor v systému InSIS: | https://insis.vse.cz/zp/62783/podrobnosti |