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Munich chain ladder method
Janáková, Veronika ; Pleška, Martin (advisor) ; Jedlička, Petr (referee)
Title: Munich chain ladder method Author: Bc. Veronika Janáková Department: Department of probability and mathematical statistic Supervisor: Mgr. Martin Pleška Supervisor's e-mail address: martin.pleska@cz.pwc.com Abstract: The insurance company is obliged to create technical reserves to cover the risk from insurance activities. One of the main reserves in non-life insurance is the IBNR reserve - the reserve to cover the damages that already exist, but that have not been reported to the insurance company yet. The content and the general aim of this thesis is to provide a better orientation in the method used in the estimation of the reserve IBNR - the Munich Chain Ladder Method. Munich Chain Ladder Method was created as a modification of the standard Chain Ladder calculation - one of the most used methods in the estimation of the IBNR reserve. The thesis focuses on the reasons that led to the modification of standard Chain Ladder calculation and explains the calculation of the modified method. It presents the application ot the method on the real data as well as the comparison with the results of the classical and less complicated Chain Ladder method. Keywords: IBNR reserve, chain ladder, Munich chain ladder 1
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Munich chain ladder method
Janáková, Veronika ; Pleška, Martin (advisor) ; Jedlička, Petr (referee)
Title: Munich chain ladder method Author: Bc. Veronika Janáková Department: Department of probability and mathematical statistic Supervisor: Mgr. Martin Pleška Supervisor's e-mail address: martin.pleska@cz.pwc.com Abstract: The insurance company is obliged to create technical reserves to cover the risk from insurance activities. One of the main reserves in non-life insurance is the IBNR reserve - the reserve to cover the damages that already exist, but that have not been reported to the insurance company yet. The content and the general aim of this thesis is to provide a better orientation in the method used in the estimation of the reserve IBNR - the Munich Chain Ladder Method. Munich Chain Ladder Method was created as a modification of the standard Chain Ladder calculation - one of the most used methods in the estimation of the IBNR reserve. The thesis focuses on the reasons that led to the modification of standard Chain Ladder calculation and explains the calculation of the modified method. It presents the application ot the method on the real data as well as the comparison with the results of the classical and less complicated Chain Ladder method. Keywords: IBNR reserve, chain ladder, Munich chain ladder 1
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Distributions suitable for modelling of individual losses
Janáková, Veronika ; Staňková Helisová, Kateřina (referee) ; Mazurová, Lucie (advisor)
Nazov prace: Ro/dclenia vhodne k modelovaniu vysky skod Autor: Veronika Janakova Katedra: Katcdra pravdepodobnosti a matematickcj statistiky VedoLici bakalarskej prace: RNDr. LucJc Mazurova, Ph.D e-mail vcduecho: Mazurova@karlin.nifT.cuni.cz Abstrakt: Obsahom prace jc prchfad rozdeleni vyu/ivanych v oblasti nezivotneho poistenia na modclovanic vysky skod. V iivode si definujcme zakladnc rozdclenia, ktore naslednc transfbrniujcme. Pri kazdom rozdeleni su uvcdcnc zakladne charakteristiky, ktorymi je dane rozdelenie urcenc. Ccla praca jc rozdclcna do dvoch kapitol. V prvcj kapitole sa zameriame na dcfim'cie u/ spominanych zakladnych rozdeleni a v druhcj casti prace budeme zakladne rozdelenia transibrmovaf. Vyuzijeme dva druhy transtbrmacii, pomocou ktorych ziskamc rozdelcnia s viaeerymi parametrami. Takcto rozdelenia maju sirsie pouzitie, leda su llexibilnejsie a mnoho rozdcleni ziskame ako spceialne pripady. KTucove slova: pravdepodobnostne rozdelenia, transformacia Title: Distributions suitable for modelling of individual losses Author: Veronika Janakova Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Lucie Mazurova, Ph.D Supervisor's e-mail address: Mazurova@karHn.mff.euni.cz Abstract: Subject of this paper is to provide a review of distribution used in the section of...
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