Modeling dependencies in claims reserving

• Thesis title in Czech: Modelování závislostí v rezervování škod
• Thesis title in English: Modeling dependencies in claims reserving
• Key words: rezervy, korelovaná data, zobecněné lineární smíšené modely, zobecněné odhadovací rovnice
• English key words: reserves, correlated data, generalized linear mixed models, generalized estimating equations
• Academic year of topic announcement: 2013/2014
• Thesis type: diploma thesis
• Thesis language: angličtina
• Department: Department of Probability and Mathematical Statistics (32-KPMS)
• Supervisor: doc. RNDr. Michal Pešta, Ph.D.
• Author: hidden - assigned and confirmed by the Study Dept.
• Date of registration: 23.09.2013
• Date of assignment: 23.09.2013
• Confirmed by Study dept. on: 18.03.2014
• Date and time of defence: 18.09.2014 00:00
• Date of electronic submission: 30.07.2014
• Date of submission of printed version: 31.07.2014
• Date of proceeded defence: 18.09.2014
• Opponents: doc. RNDr. Martin Branda, Ph.D.

Guidelines

The thesis will cover stochastic claims reserving in non-life insurance taking into account dependencies within or/and between several lines of business. Summarized theoretical methods will be applied on real data and a simulation study will be performed as well.

References

[1] Hudecová, Š. and Pešta, M. (2013). Modeling dependencies in claims reserving with GEE. Submitted http://arxiv.org/abs/1306.3768.
[2] Pešta, M. and Okhrin, O. (2013). Conditional least squares and copulae in claims reserving for a single line of business. Submitted http://arxiv.org/abs/1306.4529.
[3] Wüthrich, M. V. and Merz, M. (2008). Stochastic claims reserving methods in insurance. Wiley, Chichester, England.

Preliminary scope of work in English

In cooperation with Česká pojišťovna, a.s.