Thesis (Selection of subject)Thesis (Selection of subject)(version: 368)
Thesis details
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Claims reserving within the panel data framework
Thesis title in Czech: Rezervování škod v rámci panelových dat
Thesis title in English: Claims reserving within the panel data framework
Key words: stochastické rezervování škod, panelová data, zobecněné smíšené lineární modely, zobecněné odhadovací rovnice
English key words: stochastic claims reserving, panel data, generalized linear mixed models, generalized estimating equations
Academic year of topic announcement: 2014/2015
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: 11.08.2014
Date of assignment: 11.08.2014
Confirmed by Study dept. on: 19.02.2015
Date and time of defence: 10.09.2015 00:00
Date of electronic submission:31.07.2015
Date of submission of printed version:31.07.2015
Date of proceeded defence: 10.09.2015
Opponents: prof. RNDr. Tomáš Cipra, DrSc.
The thesis will cover stochastic claims reserving in non-life insurance for a single line of business from the perspective of the panel data framework. Summarized theoretical methods will be applied on real data and, possibly, a simulation study will be performed as well.
[1] Diggle, P.J., Heagerty, P., Liang, K.-Y., Zeger, S.L. (2002). Analysis of Longitudinal Data (2nd ed.), Oxford University Press.
[2] England, P.D., Verrall, R.J. (2002). Stochastic claims reserving in general insurance, British Actuarial Journal 8/3, 443-518.
[3] Fitzmaurice, G.M., Laird, N.M., Ware, J.H. (2004). Applied Longitudinal Analysis, Hoboken: John Wiley & Sons.
[4] Wüthrich, M.V., Merz, M. (2008). Stochastic Claims Reserving Methods in Insurance, Wiley Finance.
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