Regression approach to technical reserve calculation

Thesis title: Regression approach to technical reserve calculation
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
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
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
Date of submission: 9. 5. 2018
Date of defense: 11. 6. 2018
Identifier in the InSIS system: https://insis.vse.cz/zp/62783/podrobnosti

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