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Claims reserve calculation for data separating true IBNR and IBNER
Šťástka, Petr ; Mazurová, Lucie (advisor) ; Justová, Iva (referee)
The thesis deals with calculating technical reserves of non-life insurance undertakings, especially calculating the claims reserve, which is the most important non-life insurance reserve. It describes the reserve for claims in detail focusing consequently on the different calculation methods. The thesis focuses particularly on the description of the model proposed by the Swiss mathematician René Schnieper. This is a special model aimed at estimating the ultimate claims based on the decomposition of the incurred data into new claims amounts and changes in incurred amounts for the existing claims reported in the earlier years of the development. The final chapter numerically illustrates and compares the methods mentioned in this thesis.
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Variability estimation of development triangles in nonlife insurance
Havlíková, Tereza ; Branda, Martin (advisor) ; Mazurová, Lucie (referee)
The aim of this thesis is to describe calculation methods for variability esti- mation of claims reserve in non-life insurance. The thesis focuses on three main categories of models: Mack's stochastic Chain-Ladder, generalized linear models and bootstrap. Both the theoretical and also the empirical parts are included. Empirical part is devoted to application of all the models described above on both real and simulated data. 1
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Credibility approach to claims reserves calculation
Dzugas, Erik ; Mazurová, Lucie (advisor) ; Pešta, Michal (referee)
In this work we summarize the various techniques of claims reserves evaluating which consist in estimate of the future uncertain and hardly antici- pated loss development. It appears that the methods which are based on some credibility formula bring in the mean squared error sense the most accurate results. We consider this in the text derived conclusion very relevant and con- tributing, therefore we illustrate and present it on the numerical example. The calculations are introduced in the attached charts that build the important sup- plement of the text. The topic of this work follows up the content of Nonlife Insurance and Risk Theory lectures, therefore this text can be useful also for the students of the Faculty of Mathematics and Physics to extend their knowledge. 1
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Claims reserve calculation for data separating true IBNR and IBNER
Šťástka, Petr ; Mazurová, Lucie (advisor) ; Justová, Iva (referee)
The thesis deals with calculating technical reserves of non-life insurance undertakings, especially calculating the claims reserve, which is the most important non-life insurance reserve. It describes the reserve for claims in detail focusing consequently on the different calculation methods. The thesis focuses particularly on the description of the model proposed by the Swiss mathematician René Schnieper. This is a special model aimed at estimating the ultimate claims based on the decomposition of the incurred data into new claims amounts and changes in incurred amounts for the existing claims reported in the earlier years of the development. The final chapter numerically illustrates and compares the methods mentioned in this thesis.
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Technical reserves in non-life insurance
Vild, Jiří ; Bílková, Diana (advisor) ; Žváčková, Lenka (referee)
One of the main and crucial activities of an insurance company is to determine amount of technical reserves to be generated. If the insurance company performs in the non-life insurance branch, it focuses first of all on loss reserve which is generated to settle debts coming from insurance claims. To set the proper amount of this reserve, especially of the reserve on incurred but not reported losses (IBNR), mathematical and statistical methods are used. This thesis introduces one of the most used methods which is the chain ladder method. It presents the first chain ladder deterministic model then moves to its stochastic extension in a form of Mack's model and finally gets to the Munich chain ladder model, which takes into calculations not only data on losses paid but also losses incurred. In the theoretical part both these models (standard Mack's chain ladder and Munich chain ladder) are presented both separately and in a common context so that later in the analytical section they could be demonstrated on real data.
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