Regression approach to technical reserve calculation
Thesis title: | Regression approach to technical reserve calculation |
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Author: | Dao Thi Ha, Phuong |
Thesis type: | Diploma thesis |
Supervisor: | Zimmermann, Pavel |
Opponents: | Sládek, Václav |
Thesis language: | English |
Abstract: | 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. |
Keywords: | gamma; bootstrapping; generalized model; non-life insurance; triangle model; claims reserving; over dispersion; mean squared error |
Thesis title: | Regression approach to technical reserve calculation |
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Author: | Dao Thi Ha, Phuong |
Thesis type: | Diplomová práce |
Supervisor: | Zimmermann, Pavel |
Opponents: | Sládek, Václav |
Thesis language: | English |
Abstract: | 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. |
Keywords: | claims reserving; over dispersion; non-life insurance; triangle model; bootstrapping; gamma; mean squared error; generalized models |
Information about study
Study programme: | Kvantitativní metody v ekonomice/Quantitative Economic Analysis |
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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: | 4. 9. 2017 |
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Date of submission: | 9. 5. 2018 |
Date of defense: | 11. 6. 2018 |
Identifier in the InSIS system: | https://insis.vse.cz/zp/62783/podrobnosti |