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Prediction error in non-life claims reserves
Divišová, Kateřina ; Justová, Iva (advisor) ; Mandl, Petr (referee)
This thesis deals with a description of three claims reserving methods - with stochastic models for Chain ladder, Bornhuetter/Ferguson and multiplicative method. There are mentioned their assumptions, parameter estimates, their properties and formulas for loss reserves in the first part. The second part of the text is devoted to formulas for the mean squared error of prediction and its estimate. Finally, a numerical example shows comparison of these methods.
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Prediction error in non-life claims reserves
Divišová, Kateřina ; Justová, Iva (advisor) ; Mandl, Petr (referee)
This thesis deals with a description of three claims reserving methods - with stochastic models for Chain ladder, Bornhuetter/Ferguson and multiplicative method. There are mentioned their assumptions, parameter estimates, their properties and formulas for loss reserves in the first part. The second part of the text is devoted to formulas for the mean squared error of prediction and its estimate. Finally, a numerical example shows comparison of these methods.
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