Statistical models for an MTPL portfolio
| Thesis title: | Statistical models for an MTPL portfolio |
|---|---|
| Author: | Pirozhkova, Daria |
| Thesis type: | Diploma thesis |
| Supervisor: | Zimmermann, Pavel |
| Opponents: | Malá, Ivana |
| Thesis language: | English |
| Abstract: | 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. |
| Keywords: | Poisson model; overdispersion; cross-validation; predictive power; Overdispersed Poisson model; claim frequency; pricing model; goodness-of-fit; Negative Binomial model; count data model |
| Thesis title: | Statistical models for an MTPL portfolio |
|---|---|
| Author: | Pirozhkova, Daria |
| Thesis type: | Diplomová práce |
| Supervisor: | Zimmermann, Pavel |
| Opponents: | Malá, Ivana |
| Thesis language: | English |
| Abstract: | 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. |
| Keywords: | pricing model; claim frequency; Negative Binomial model; Overdispersed Poisson model; Poisson model; count data model; overdispersion; cross-validation; predictive power; goodness-of-fit |
Information about study
| Study programme: | Kvantitativní metody v ekonomice/Quantitative Economic Analysis |
|---|---|
| Type of study programme: | Magisterský studijní program |
| Assigned degree: | Ing. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of Informatics and Statistics |
| Department: | Department of Statistics and Probability |
Information on submission and defense
| Date of assignment: | 26. 10. 2016 |
|---|---|
| Date of submission: | 18. 5. 2017 |
| Date of defense: | 8. 6. 2017 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/59426/podrobnosti |