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Stochastic approaches to distributions of aggregated claims
 Kirešová, Katarína ; Pešta, Michal (advisor) ; Mazurová, Lucie (referee)
Bachelor thesis deals with the calculation of the distribution of an aggregated claim: at first generally and afterward, focusing on life portfolio in an indivi- dual model. Three methods are compared: De Pril recursion, Kornya's method, and Panjer algorithm. We assess assumptions and derive formulae for particular methods. Methods are compared in terms of time complexity and precision of computations. We also deal with the calculation of the expected value and va- riance. Eventually, examples and simulations, which we used to determine the best method of calculation of the distribution of aggregated claim in an arbitrary portfolio, are preceded.
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