MICRO-MODEL FOR RESERVING IN NON-LIFE INSURANCE WITH THE USE OF GENERALIZED LINEAR REGRESSION MODEL EXTENSIONS

Informace o vysokoškolské kvalifikační práci

Název práce:
MICRO-MODEL FOR RESERVING IN NON-LIFE INSURANCE WITH THE USE OF GENERALIZED LINEAR REGRESSION MODEL EXTENSIONS
Autor práce:
Vrobel, Marcel
Typ práce:
Diplomová práce / Master thesis
Vedoucí práce:
Zimmermann, Pavel
Osoba oponující práci:
Gerthofer, Michal
Jazyk práce:
English
Abstrakt:
This paper develops a deterministic model for individual claim level reserving. The proposed model is based on collected literature and its structure is decomposed and presented as a list of variables. These variables are firstly defined and then predicted with the usage of generalized linear models (GLM) and its extensions in form of Hurdle and Zero-inflated models. These variables are then combined and as a result, a deterministic model for individual claim level reserving model is obtained. For the practical implementation and evaluation, a dataset of MTPL claims, originating from non-insured cars, is used and presented. Based on these claims the estimated reserve is obtained. The model is then compared with a traditional Chain-Ladder model reserve estimate. In the end the proposed model proved to have very accurate predictions but is biased in comparison with the real claim development. The last section suggests how the model can be improved and further developed.
Klíčová slova:
Hurdle model; Zero-inflated model; Micro model; Individual claim level model; GLM

Informace o studiu

Studijní program a Studijní obor:
Kvantitativní metody v ekonomice/Statistika
Typ studijního programu:
Magisterský navazující studijní program
Jméno přidělované hodnosti:
Ing.
Instituce přidělující hodnost:
University of Economics, Prague
Název fakulty:
Faculty of Informatics and Statistics
Název katedry:
Department of Statistics and Probability
Instituce archivující a zpřístupňující VŠKP:
University of Economics, Prague

Informace o odevzdání a obhajobě

Datum zadání práce:
5. 9. 2017
Datum podání práce:
14. 5. 2018
Datum obhajoby:
07.06.2018

Soubory ke stažení

Hlavní práce:
62793_xvrom00.pdf [2,07 MB]
Oponentura:
58094_germ00.pdf [285,01 kB]
Hodnocení vedoucího:
62793_zimmerp.pdf [402,79 kB]

Údaje ze systému InSIS

Identifikátor:
https://insis.vse.cz/zp/62793/podrobnosti