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Point processes and their application in modeling the arrival of insurance claims in time. Bayesian credibility
theory. GLM in reserving. Mean square error of a loss reserve estimate.
Last update: Branda Martin, doc. RNDr., Ph.D. (13.12.2020)
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The aim of the subject is to make the students aquainted with selected mathematical methods used in non-life insurance rate-making.
Last update: Zichová Jitka, RNDr., Dr. (02.06.2022)
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Conditions for the exercise class credit: one test (required pass rate of 60% points), processing and presentation of a home project.
The exercise class credit is necessary for the participation in the exam. Last update: Mazurová Lucie, RNDr., Ph.D. (01.03.2024)
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H. Panjer, G.E. Willmot: Insurance risk models. Society of Actuaries, 1992.
E. Ohlsson, B. Johansson: Non-life Insurance Pricing with Generalized Linear Models. Springer, 2010.
H. Bühlmann, A. Gisler: A Course in Credibility Theory and its Applications. Springer, 2005.
M.V. Wüthrich, M. Merz: Stochastic Claims Reserving Methods in Insurance. Wiley, 2008. Last update: Branda Martin, doc. RNDr., Ph.D. (13.12.2020)
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Lecture + exercises. Last update: Zichová Jitka, RNDr., Dr. (02.06.2022)
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1. Poisson process, processes with an intensity depending on time and state. Renewal processes. 2. Application of GLM in a multiplicative tariff structure. Models of claim frequency and claim severity. 3. Application of GLM in the analysis of development triangles. Mean square error of the IBNR reserve prediction and its estimate. 4. Bühlmann and Bühlmann - Straub models of credibility theory. Application in a multiplicative tariff structure and in reserving. Last update: Mazurová Lucie, RNDr., Ph.D. (12.12.2020)
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