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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Modelování extrémních hodnot
 Shykhmanter, Dmytro ; Malá, Ivana (advisor) ; Luknár, Ivan (referee)
Modeling of extreme events is a challenging statistical task. Firstly, there is always a limit number of observations and secondly therefore no experience to back test the result. One way of estimating higher quantiles is to fit one of theoretical distributions to the data and extrapolate to the tail. The shortcoming of this approach is that the estimate of the tail is based on the observations in the center of distribution. Alternative approach to this problem is based on idea to split the data into two sub-populations and model body of the distribution separately from the tail. This methodology is applied to non-life insurance losses, where extremes are particularly important for risk management. Never the less, even this approach is not a conclusive solution of heavy tail modeling. In either case, estimated 99.5% percentiles have such high standard errors, that the their reliability is very low. On the other hand this approach is theoretically valid and deserves to be considered as one of the possible methods of extreme value analysis.
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Stochastic models in non-life insurance
 Luknár, Ivan ; Marek, Luboš (advisor) ; Šalša, Miroslav (referee)
Ke krytí rizik z pojištovací ?innosti je pojištovna povinna vytváret technické rezervy. V neživotním pojišt?ní je nejd?ležit?jší rezervou rezerva na pojistná pln?ní, zahrnující rezervy typu RBNS a IBNR. K odhadu výše t?chto rezerv se používají r?zné matematicko-statistické metody vycházející z historických pozorování pr?b?hu škod. Tato práce prezentuje zp?sob ur?ení pot?ebné výše rezervy v pojišt?ní odpov?dnosti z provozu motorových vozidel na základ? stochastického modelování odhadnutých o?ekávaných po?t? pojistných událostí a o?ekávané výše t?chto událostí.
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