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Hurdle models in non-life insurance
Tian, Cheng ; Pešta, Michal (advisor) ; Branda, Martin (referee)
A number of articles only present hurdle models for count data. we are motivated to present hurdle models for semi-continuous data. Because semi- continuous data is also commonly seen in non-life insurance. The thesis deals with the parameterization of various hurdle models for semi-continuous data besides for count data in non-life insurance. Two components of a hurdle model are modeled separately. A hurdle component is modeled by a logistic regression. For a semi-continuous data, a continuous component is modeled by several various regressions. Parameters of each component are estimated through maximum likelihood estimation. Model selection is mentioned before theoretical approaches are applied on the vehicle insurance data. Finally, we get some predicted values based on the fitted models. The prediction gives insurance companies a general idea on setting premium but not accurate. 1
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Loss reserving for individual claim-by-claim data
Bednárik, Vojtěch ; Pešta, Michal (advisor) ; Hurt, Jan (referee)
This thesis covers stochastic claims reserving in non-life insurance based on individual claims developments. Summarized theoretical methods are applied on data from Czech Insurers' Bureau for educational purposes. The problem of estimation is divided into four parts: oc- curence process generating claims, delay of notification, times between events and payments. Each part is estimated separately based on maximum likelihood theory and final estimates allow us to obtain an estimate of future liabilities distribution. The results are very promis- ing and we believe this method is worth of a further research. Contribution of this work is more rigorous theoretical part and application on data from the Czech market with some new ideas in practical part and simulation. 1
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Analysis of insurance portfolio of insurance broker
Války, Patrik ; Ducháčková, Eva (advisor) ; Kábrt, Tomáš (referee)
Bachelor thesis focuses on entrepreneurship in insurance brokerage, more precisely on activity of specific company which provides consultancy and non-life insurance brokerage primary on Slovak market. The main objective of bachelor thesis is analysis of insurance portfolio followed by a formulation of recommendation, which may lead to maximisation of commission earned for insurance brokerage in future. In the thesis, we use multi-criteria analysis, in which insurance portfolio and received commission are analysed by several criteria (insurance company, insurance product, age of insurance contract, frequency of due of premium payment).
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The development of insurance in Czech and Slovak territory
Tomašovičová, Lucia ; Ducháčková, Eva (advisor) ; Daňhel, Jaroslav (referee)
This bachelor thesis deals with the development of insurance in Czech and Slovak territory. The aim is to present the evolution of Czech and Slovak insurance market from its beginning to the present. The chapters are chronologically divided according to significant historical milestones. The effort is to observe the influence of time and economic and political situation on the insurance market development, not only to characterize the current situation but also to review the differences of both insurance markets. Furthermore, the latest news in Czech and Slovak insurance are described. Part of the work is about the global trends emerging on current insurance market.
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Development of property insurance for citizens in the Czech Republic
Kopecká, Kamila ; Ducháčková, Eva (advisor) ; Daňhel, Jaroslav (referee)
The master thesis analyzes the property insurance for citizens in the Czech Republic with main focus on buildings insurance, household insurance, and accident insurance for non-rail vehicles. The goal of this thesis is to analyze the development of insurance market indicators of the products stated above and to predict their future behavior. To help with the understanding of the practical part, basic terminology and trends in the general insurance market are included in this work. The main indexes to be analyzed are: premium written, claims paid, loss ratio, number of contracts made, average written premium per contract, number of claims settled, average written premium per insured event, and the number of commercial insurance companies. The main data sources for time series analysis for the period between the years 1997 and 2015 are the annual reports of the Czech Insurance Association. The time series analysis showed that building insurance and household insurance are strongly affected by natural disasters - in the Czech Republic the main impact have floods. Since the main purpose of the accident insurance is to cover accidents, it is only partially impacted by natural disasters. The popularity of property insurance has an increasing tendency, which is shown by the insurance market indicators. Box-Jenkins methodology was used to forecast the future development of the insurance market. Similarly to other insurance products, the property insurance undergoes certain changes, to which the insurance companies must respond. These trends are mainly connected to the higher usage of modern technologies - for instance Internet of Things, introduction of Smart Homes or the ,,Pay How-You-Drive'' insurance.
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Tweedie models for pricing and reserving
Smolárová, Tereza ; Pešta, Michal (advisor) ; Cipra, Tomáš (referee)
This presented thesis deals with applications of Tweedie compound Poisson model in non-life insurance pricing and claims reserving. Tweedie models are exponen- tial dispersion models with power mean-variance relationships and compound Poisson distribution is a particular Tweedie model. The interest in Tweedie com- pound Poisson model is motivated by its applications to generalized linear models (GLMs) and generalized estimation equations (GEE). The purpose of this thesis is to construct pricing and claims reserving models in which the response variables follow Tweedie compound Poisson model. Theoretical approaches are applied on the real datasets. 1
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Claims reserving with copulae for multiple lines of business
Valentovičová, Katarína ; Pešta, Michal (advisor) ; Mazurová, Lucie (referee)
Claims reserving and claims process estimation present classical problems in general insurance. The overall reserves are often determined under the assumption of independence among the lines of business. Though, recently modelling of the dependence among multiple lines of business has become crucial issue of reserving process. In this context, copulae provide a useful tool to construct models which go beyond the classical ones in terms of dependence structure. This thesis deals, in particular, with the copula regression model, its properties and possible applications in general insurance. This approach combines GLM modelling of margins and then expressing the dependence structure using copula. The theoretical methods are illustrated on a real dataset.
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The Impact of the Macroeconomic Environment on Insurance Companies
Čepeláková, Lenka ; Jakubík, Petr (advisor) ; Brechler, Josef (referee)
i Abstract: This thesis assesses the impact of economic, institutional and demographic factors on the life and non-life gross written premiums of insurance companies. A dynamic panel data regression using the system generalized method of mo- ments is applied on data of 29 European countries collected by EIOPA covering the period from 2005 to 2013. The results reveal that economic and institutio- nal factors drive both life and non-life insurance industry. On the other hand, we cannot confirm that demographic factors are significant determinants of the growth in GWPs. Subsequently, the hypothesis that there are substantial cross-countries differences among the importance of different macroeconomic determinants on the insurance sector development is explored and confirmed. This work shines new light on the development of the quantitative macro- prudential framework used to determine different economic scenarios affecting insurance companies' balance sheets. Moreover, a broader set of panel data and more variables explaining the growth in insurance sector bring new contributi- ons to the current discussion in academic literature.
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Solvency Internal models
Mertl, Jakub ; Cipra, Tomáš (advisor) ; Mazurová, Lucie (referee) ; Jedlička, Petr (referee)
Title: Solvency Internal models Author: Mgr. Ing. Jakub Mertl Abstract: The subject of thesis is assessment of calculation methods on capital adequacy of currently implemented regulation in insurance industry called Solvency II. The aim of the thesis is to build up a partial internal model fulfilling the condition of Solvency II. The thesis deals with the premium and reserve risks that are essential part of non-life business. Different approaches of risk assessment are described and aggregation of those risks as well. An important part of the thesis is a numerical example illustrating presented methods.
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Modern stochastic claims reserving methods in insurance and their comparison
Vosáhlo, Jaroslav ; Pešta, Michal (advisor) ; Mazurová, Lucie (referee)
This thesis deals with an issue of claims reserving for non-life insurance. The issue is approached in a sense of analytical calculation and stochastic modelling. First, Chain-ladder, Bornhuetter-Ferguson, Benktander-Hovinen and Cape-Cod method are introduced. In following chapters, we try to find related stochastic underlying models including Generalized linear models and Mack's distribution-free approaches, we analyze second moments of claims estimates for each of the methods and examine alternative Merz-Wüthrich approach to reserve risk measurement. At the end, bootstrap algorithm and estimates are suggested and simulation results are compared with analytic ones.
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