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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Statistical models for an MTPL portfolio
 Pirozhkova, Daria ; Zimmermann, Pavel (advisor) ; Malá, Ivana (referee)
In this thesis, we consider several statistical techniques applicable to claim frequency models of an MTPL portfolio with a focus on overdispersion. The practical part of the work is focused on the application and comparison of the models on real data represented by an MTPL portfolio. The comparison is presented by the results of goodness-of-fit measures. Furthermore, the predictive power of selected models is tested for the given dataset, using the simulation method. Hence, this thesis provides a combination of the analysis of goodness-of-fit results and the predictive power of the models.
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Mixed Poisson models for claim counts
 Hauptfleisch, Filip ; Pešta, Michal (advisor) ; Hendrych, Radek (referee)
The thesis summarizes the theory of mixed Poisson models. Poisson distri- bution is one of the popular distributions in modelling count data, but its use is limited because it requires equidispersion. Because of this we introduce both con- tinuous and finite mixtures. From continuous mixtures the main representative is the negative binomial model, which arises as Poisson Gamma mixture, while from discrete models we deal mainly with zero-inflated models and hurdle models. For these models we use the maximum likelihood estimates of their parameters. In the end we apply these models to fit automobile insurance data from Australia, where we use MLE to fit Poisson regression, negative binomial regression and Poisson hurdle regression.
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