Granular loss models in reserving

• Thesis title in Czech: Granulární modely škod v rezervování
• Thesis title in English: Granular loss models in reserving
• Key words: Rezervy na pojistná plnění, granulární data, IBNR, Chain ladder
• English key words: Claims reserving, granular data, IBNR, Chain ladder
• 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: 24.09.2013
• Date of assignment: 24.09.2013
• Confirmed by Study dept. on: 18.03.2014
• Date and time of defence: 18.09.2014 00:00
• Date of electronic submission: 29.07.2014
• Date of submission of printed version: 31.07.2014
• Date of proceeded defence: 18.09.2014
• Opponents: RNDr. Lucie Mazurová, Ph.D.

Guidelines

The thesis will cover stochastic claims reserving in non-life insurance embracing the notion that granular data provides more information. Summarized theoretical methods will be applied on real data and a simulation study will be performed as well.

References

[1] Parodi, P. (2013). Triangle-free reserving. British Actuarial Journal. Available on CJO 2013 doi:10.1017/ S1357321713000093.
[2] 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.