Original title: Stochastické přístupy pro rozdělení agregovaných škod
Translated title: Stochastic approaches to distributions of aggregated claims
Authors: Kirešová, Katarína ; Pešta, Michal (advisor) ; Mazurová, Lucie (referee)
Document type: Bachelor's theses
Year: 2019
Language: slo
Abstract: [eng] [cze]
Bachelor thesis deals with the calculation of the distribution of an aggregated claim: at first generally and afterward, focusing on life portfolio in an indivi- dual model. Three methods are compared: De Pril recursion, Kornya's method, and Panjer algorithm. We assess assumptions and derive formulae for particular methods. Methods are compared in terms of time complexity and precision of computations. We also deal with the calculation of the expected value and va- riance. Eventually, examples and simulations, which we used to determine the best method of calculation of the distribution of aggregated claim in an arbitrary portfolio, are preceded. Bakalárska práca sa venuje výpočtu distribúcie agregovanej škody najprv vše- obecne, potom sa konkretizuje na životné portfólio v individuálnom modeli. Po- rovnávame tri metódy: De Prilovu rekurziu, Kornyovu metódu a Panjerov al- goritmus. Zisťujeme predpoklady a odvodzujeme výpočetné vzťahy pri konkrét- nych metódach. Metódy porovnávame z hľadiska časovej náročnosti a presnosti výpočtu. Zaoberáme sa aj výpočtom strednej hodnoty a rozptylu. Na záver sú uvedené príklady a simulácie, na základe ktorých sme určili najlepšiu metódu na výpočet distribúcie agregovanej škody v ľubovoľnom portfóliu.
Keywords: aggregated claims; De Pril recursion; distribution; Kornya method; Panjer formula; agregované škody; De Prilova rekurze; distribuce; Kornyaova metoda; Panjerova formula

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/109036

Permalink: http://www.nusl.cz/ntk/nusl-405257


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses