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Stochastic claims reserving with double chain ladder
Javůrková, Tereza ; Pešta, Michal (advisor) ; Zichová, Jitka (referee)
This thesis deals with an important problem of insurance which is forecasting outstanding claims liabilities. It describes the Chain-Ladder method, the basic method for forecasting outstanding claims, and then it's extention to Double Chain-Ladder method. It also uses the number of reported claims for a beter estimate. The final forecast is calculated from the IBNR and RBNS reserves which are estimated separetly. Finly we aplly those methods to a real life dataset. The results shows differences betwen those two methods and different ways of programming. 1
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Truncated data and stochastic claims reserving
Marko, Dominik ; Pešta, Michal (advisor) ; Mazurová, Lucie (referee)
In this thesis stochastic claims reserving under the model of randomly trun- cated data is presented. For modelling the claims, a compound Poisson process is assumed. Introducing a random variable representing the delay between oc- currence and reporting of a claim, a probability model of IBNR claims is built. The fact that some claims are incurred but not reported yet leads to truncated data. Basic results of non-parametric statistical estimation under the model of randomly truncated data are shown, which can be used to obtain an estimate of IBNR claims reserves. Theoretical background is then used for application on real data from Czech Insurers' Bureau. 36
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Double chain ladder
Perichtová, Margaréta ; Pešta, Michal (advisor) ; Mazurová, Lucie (referee)
This thesis deals with one of the biggest problems in non-life insurance and that is forecasting outstanding claims liabilities. Chain ladder method is probably the most often used method for estimating outstanding liabilities. Firstly, we show classic chain ladder method and its deterministic and stochastic form. Secondly, we introduce relatively new method, double chain ladder method which comes from chain ladder method, but in addition it considers number of reported claims, that allow us to count RBNS reserve more precisely and also to count IBNR and RBNS reserves separately. In the end we apply both methods on the real data. We compute point estimate of the reserve by chain ladder method and by double chain ladder method and compare the results. Powered by TCPDF (www.tcpdf.org)
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