Název:
Modelování výše škod v čase pomocí kopulí
Překlad názvu:
Modelling the Loss Development in Time with Aid of Copulas
Autoři:
Obdržálková, Ludmila ; Justová, Iva (oponent) ; Šváb, Jan (vedoucí práce) Typ dokumentu: Diplomové práce
Rok:
2009
Jazyk:
cze
Abstrakt: 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.