Odhadování pojistních rezerv na základě Mack modelu
| Thesis title in Czech: | Odhadování pojistních rezerv na základě Mack modelu |
|---|---|
| Thesis title in English: | Stochastic Claims Reserving with Mack's Model |
| Key words: | trojuhelníkové data|neživotné pojištení|odhadování rezervy|Mack model |
| English key words: | chain ladder data|nonlife insurance|claims reserving|Mack model |
| Academic year of topic announcement: | 2022/2023 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | doc. RNDr. Matúš Maciak, Ph.D. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 19.10.2022 |
| Date of assignment: | 19.10.2022 |
| Confirmed by Study dept. on: | 16.11.2022 |
| Guidelines |
| Základným cieľom bakalárskej práce je podrobne sa oboznámiť s problémom rezervovania škod v neživotnom poistení
na základe agregovaných dat -- tzv. chain ladder trojuholníkov. Autor/autorka popíše základný stochastický model pre odhadovanie rezervy (Mack, 1993) pomocou vývojových faktorov. V práci budú diskutované základné vlastnosti získaných odhadov, ilustrácia praktického použitia, prípadne porovnávacia simulačná štúdia. |
| References |
| [1] England, P. D. and R. J. Verrall (2002). Stochastic claims reserving in general insurance (with
discussion). British Actuarial Journal 8(3), 443–518. [2] Mack, T. (1993). Distribution-free calculation of the standard error of chain ladder reserve estimates. ASTIN Bull. 23(2), 213–225. [3] Mack, T. (1994). Which stochastic model is underlying the chain ladder model? Insur. Math. Econ. 15, 133–138. [4] Mack, T. and G. Venter (2000). A comparison of stochastic models that reproduce chain ladder reserve estimates. Insur. Math. Econ. 26(1), 101–107. |
| Preliminary scope of work in English |
| The main aim of the thesis is to get familiar with the basic method of a non-life insurance -- claims reserving based on the Mack model (Mack, 1993).
The author will describe in detail the overall stochastic model based on the so called ''development factors'' in the chain ladder triangles. Important statistical properties will be addressed in the thesis and practical application with and/or simulation studies will be included in the empirical part of the thesis. |