Original title: Statistical models for an MTPL portfolio
Translated title: Statistical models for an MTPL portfolio
Authors: Pirozhkova, Daria ; Zimmermann, Pavel (advisor) ; Malá, Ivana (referee)
Document type: Master’s theses
Year: 2017
Language: eng
Publisher: Vysoká škola ekonomická v Praze
Abstract: In this thesis, we consider several statistical techniques applicable to claim frequency models of an MTPL portfolio with a focus on overdispersion. The practical part of the work is focused on the application and comparison of the models on real data represented by an MTPL portfolio. The comparison is presented by the results of goodness-of-fit measures. Furthermore, the predictive power of selected models is tested for the given dataset, using the simulation method. Hence, this thesis provides a combination of the analysis of goodness-of-fit results and the predictive power of the models.
Keywords: claim frequency; count data model; cross-validation; goodness-of-fit; Negative Binomial model; Overdispersed Poisson model; overdispersion; Poisson model; predictive power; pricing model; claim frequency; count data model; cross-validation; goodness-of-fit; Negative Binomial model; Overdispersed Poisson model; overdispersion; Poisson model; predictive power; pricing model

Institution: University of Economics, Prague (web)
Document availability information: Available in the digital repository of the University of Economics, Prague.
Original record: http://www.vse.cz/vskp/eid/70387

Permalink: http://www.nusl.cz/ntk/nusl-359373


The record appears in these collections:
Universities and colleges > Public universities > University of Economics, Prague
Academic theses (ETDs) > Master’s theses