National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Micro-level stochastic claims reserving
Rathouský, Marek ; Pešta, Michal (advisor) ; Vitali, Sebastiano (referee)
This thesis covers, in detail, theoretical background of micro-level stochastic model, which includes definition and properties of non-homogeneous Poisson process. This the- ory is then applied to real data generated by MTPL portfolio. Estimates of provisions under micro-level stochastic model are calculated using ordinary Monte Carlo simula- tion method. Results obtained from micro-level stochastic model are compared to Mack Chain-ladder estimates. 1
Empirický bayesovský přístup v mikromodelech pro výpočet rizika rezerv
Fedorčáková, Claudia ; Zimmermann, Pavel (advisor) ; Bílková, Diana (referee)
The traditional reserve estimation by an insurance company is based on the aggregated data. However, new trend is to utilize all the information available and analyse each claim separately. This way the application of claims specific features, such as non-proportional reinsurance or policy limits, is possible. The aim of this thesis is to construct the reserving model based on the individual claims. Following the recent legislative changes, the reserve risk has been redefined from ultimate claim horizon to a one-year risk horizon. Hence, the next task is to setup simulation model to calculate one year horizon reserve risk by updating the estimates based on new observations collected over one year. This is a typical task for Bayesian approach, therefore the model components are estimated using the tools of Bayesian statistics.

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