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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Truncated marked processes
 Hrbáčová, Daniela ; Pešta, Michal (advisor) ; Dvořák, Jiří (referee)
This thesis explores the use of marked stochastic processes in the context of delayed reporting of claims in non-life insurance. The focus is on estimating the intensity of the claim occurrence process using the ν-transform of the claim reporting process. The first part provides the theoretical background, including the introduction of the Poisson process and the concept of marking. The ν-transform is defined and a special case of the ν-transform is applied in an example. As well as there is presented an approach how to handle with truncated data. The second chapter applies these theoretical concepts to real-world data from Motor Third Party Liability insurance. The result is a formula for estimating the intensity of the occurrence process based on the estimated intensity of the claim reporting process and the estimated truncated conditional density of delays given reporting times. While the approach is computationally intense, it has practical applica- tions in estimating claim reserves for insurance companies. Future work could expand on this approach by considering more complex cases, such as time-varying conditional dis- tribution of delays or including on input nonhomogeneous Poisson, or even more complex processes. Finishing the claim reserve calculation would be also beneficial. Overall, this thesis...
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Efficiency of bonus-malus systems
 Hrbáčová, Daniela ; Mazurová, Lucie (advisor) ; Kříž, Pavel (referee)
This thesis deals with bonus-malus systems during motor third party liability insu- rance. Bonus-malus system is used to adjust apriori set tariff premium according to the individual claims. This fruther adjustment of premium rate serves to make claim costs even more fair distributed among policyholders in one tariff class. We model driver's passage through the system as a homogenous Markov chain. The result of this thesis is the assessment of the efficiency of the systems used by two insurance companies in the Czech Republic on a model insurance portfolio. 1
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