Actuarial reserving methods for non-life insurance

• Thesis title in Czech: Aktuárské rezervovací metody v neživotním pojištění
• Thesis title in English: Actuarial reserving methods for non-life insurance
• Key words: rezerva na škody|řetězový žebřík|generalizované lineární modely|generalizované lineární smíšené modely
• English key words: loss reserve|chain ladder|generalized linear models|generalized linear mixed models
• Academic year of topic announcement: 2023/2024
• Thesis type: diploma thesis
• Thesis language: angličtina
• Department: Department of Probability and Mathematical Statistics (32-KPMS)
• Supervisor: doc. RNDr. Martin Branda, Ph.D.
• Author: hidden - assigned and confirmed by the Study Dept.
• Date of registration: 08.11.2023
• Date of assignment: 27.02.2024
• Confirmed by Study dept. on: 27.02.2024
• Date and time of defence: 05.09.2024 08:00
• Date of electronic submission: 15.07.2024
• Date of submission of printed version: 15.07.2024
• Date of proceeded defence: 05.09.2024
• Opponents: prof. RNDr. Tomáš Cipra, DrSc.

Guidelines

The aim of this thesis is to compare different actuarial reserving methods for non-life insurance, such as the chain-ladder method, the Mack method and the methods based on generalized linear or generalized mixed models. The comparison will be based on the accuracy, reliability, and robustness of the methods, as well as their applicability to different types of claims data. The applicant will also describe the data sources and the characteristics of the claims data used in the study, as well as the methods and models applied to estimate the reserves. The thesis will be concluded by a numerical study on available development triangles.

References

England, P.D., and R.J. Verrall. 2002. Stochastic Claims Reserving in General Insurance. British Actuarial Journal 8: 443–518.

Mack, T. 1993. Distribution-Free Calculation of the Standard Error of Chain Ladder Reserve Estimates. ASTIN Bulletin 23: 213–225.

Renshaw, A.E., and R.J. Verrall. 1998. A Stochastic Model Underlying the Chain Ladder Technique. British Actuarial Journal 4: 903–923.

Wüthrich, M.V. 2013. Challenges with non-informative gamma priors in the Bayesian over-dispersed Poisson reserving model. Insurance: Mathematics and Economics 52(2): 352–358.