Loss reserving for individual claim-by-claim data

• Thesis title in Czech: Rezervování škod pro individuální škodní data
• Thesis title in English: Loss reserving for individual claim-by-claim data
• Key words: Rezervy na pojistná plnění, neživotní pojištění, granulární data, přístup na mikro-úrovni
• English key words: Claims reserving, non-life insurance, granular data, micro-level approach
• Academic year of topic announcement: 2016/2017
• 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: 07.06.2016
• Date of assignment: 07.06.2016
• Confirmed by Study dept. on: 09.08.2016
• Date and time of defence: 31.01.2018 00:00
• Date of electronic submission: 05.07.2017
• Date of submission of printed version: 21.07.2017
• Date of proceeded defence: 31.01.2018
• Opponents: doc. RNDr. Jan Hurt, CSc.

Guidelines

The thesis will cover stochastic claims reserving in non-life insurance embracing the notion that micro-level (also known as claim-by-claim) data provides more information. Summarized theoretical methods will be applied on real data and a simulation study will be performed as well.

References

[1] Antonio, K. and Plat, R. (2014). Micro-level stochastic loss reserving for general insurance. Scand. Actuar. J., 2014(7):649–669.
[2] Arjas, E. (1989). The claims reserving problem in non-life insurance: Some structural ideas. ASTIN Bull., 19(2):139–152.
[3] Haastrup, S. and Arjas, E. (1996). Claims reserving in continuous time: A nonparametric bayesian approach. ASTIN Bull., 26(2):139–164.
[4] Jewell, W. (1989). Predicting IBNYR events and delays, part I continuous time. ASTIN Bull., 19:25–56.
[5] Jewell, W. (1990). Predicting IBNYR events and delays, part II discrete time. ASTIN Bull., 20:93–111.
[6] Norberg, R. (1993). Prediction of outstanding liabilities in non-life insurance. ASTIN Bull., 23(1):95–115.
[7] Norberg, R. (1999). Prediction of outstanding liabilities II. Model extensions variations and extensions. ASTIN Bull., 29(1):5–25.
[8] Taylor, G., McGuire, G., and Sullivan, J. (2008). Individual claim loss reserving conditioned by case estimates. Annals of Actuarial Science, 3(1–2):215–256.
[9] Wuethrich, M. V. and Merz, M. (2008). Stochastic claims reserving methods in insurance. Wiley finance series. John Wiley & Sons.