Original title: Modelování výše škod v čase pomocí kopulí
Translated title: Modelling the Loss Development in Time with Aid of Copulas
Authors: Obdržálková, Ludmila ; Justová, Iva (referee) ; Šváb, Jan (advisor)
Document type: Master’s theses
Year: 2009
Language: cze
Abstract: There is proposed and described stochastic approach of calculation of IBNR reserve based on modelling loss development in time using copulas in this thesis. The first chapter determinates basic terms of copula theory and gives compact summary of most widely known copula families. Particular steps of calculation of IBNR reserve follow in the second chapter. The calculation is demonstrated numerically over the casco insurance. The resultant distribution is compared with distribution obtained by Mack's model for the Chain ladder method.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/27665

Permalink: http://www.nusl.cz/ntk/nusl-282859


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses