Tweedie models for pricing and reserving
| Thesis title in Czech: | Tweedie modely pro oceňování a rezervování |
|---|---|
| Thesis title in English: | Tweedie models for pricing and reserving |
| Key words: | Tweedie modely, neživotní pojištění, oceňování, tarifování, zobecněné lineární modely |
| English key words: | Tweedie models, non-life insurance, pricing, reserving, generalized linear models |
| 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: | 31.03.2015 |
| Date of assignment: | 31.03.2015 |
| Confirmed by Study dept. on: | 23.04.2015 |
| Date and time of defence: | 14.06.2017 00:00 |
| Date of electronic submission: | 12.05.2017 |
| Date of submission of printed version: | 12.05.2017 |
| Date of proceeded defence: | 14.06.2017 |
| Opponents: | prof. RNDr. Tomáš Cipra, DrSc. |
| Guidelines |
| Various stochastic pricing and claims reserving methods, which are used in recent years in non-life insurance business, will be summarized. Furthermore, techniques based on generalized linear models (GLM) will be of main interest. The focus lies in applications of Tweedie models in pricing and reserving, which allow to extend the concept of the GLM into generalized estimating equations (GEE). Theoretical approaches will be applied on real data. |
| References |
| [1] England, P. and Verrall, R. (2002). Stochastic claims reserving in general insurance. British Actuarial Journal, 8, 443 - 544.
[2] Hudecová, Š. and Pešta, M. (2012). Generalized estimating equations in claims reserving. In Komárek, A. and Nagy, S., editors, Proceedings of the 27th International Workshop on Statistical Modelling, pages 555-560. Tribun EU, Brno. [3] Jørgensen, B. and Souza, M.C.P.D. (1994). Fitting Tweedie’s compound Poisson model to insurance claims data. Scandinavian Actuarial Journal, 1, 69 - 93. [4] Peters, G.W., Schevchenko, P.V., and Wüthrich, M.V. (2009). Model uncertainty in claims reserving within Tweedie’s compound Poisson models. ASTIN Bulletin, 39(1), 1 - 33. [5] Swan, T. (2006). Generalized estimating equations when the response variable has a Tweedie distribution: An application for multi-site rainfall modelling. Master’s thesis, The University of Southern Queensland, Toowoomba, QLD. [6] Wüthrich, M. and Merz, M. (2008). Stochastic claims reserving methods in insurance. Wiley finance series. John Wiley & Sons. [7] Wüthrich, M.V. (2003). Claims reserving using Tweedie’s compound Poisson model. ASTIN Bulletin, 33(2), 331 - 346. |