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Last update: RNDr. Jitka Zichová, Dr. (27.04.2018)
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Last update: T_KPMS (16.05.2013)
The aim of the subject is to describe probabilistic models used in non-life insurance, fundamentals of the collective risk model including elementary ruin theory , to make a survey of technical reserves and selected methods for computing outstanding claims reserves. |
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Last update: RNDr. Lucie Mazurová, Ph.D. (13.10.2021)
Conditions for the exercise class credit: all solved homeworks, written exam (at least 50% of points), oral presentation on a given topic.
The nature of these requirements precludes possibility of additional attempts to obtain the exercise class credit.
The exercise class credit is necessary for the participation in the exam. |
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Last update: doc. RNDr. Michal Pešta, Ph.D. (28.10.2019)
Mandl, P., Mazurová, L.: Matematické základy neživotního pojištění. Matfyzpress, Praha 1999.
Klugman, S.A., Panjer, H.H., Willmot, G.E.: Loss Models, John Wiley & Sons, 1998.
T. Mack: Distribution free calculation of the standard error of chain ladder reserves estimate.
ASTIN Bulletin 23 (1993), 213-225. |
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Last update: RNDr. Lucie Mazurová, Ph.D. (13.10.2021)
Lecture+exercises.
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Last update: RNDr. Lucie Mazurová, Ph.D. (10.10.2017)
Oral exam with written preparation. Requirements for the exam consist of the entire extent of the lecture. |
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Last update: RNDr. Lucie Mazurová, Ph.D. (26.04.2018)
Modelling claims frequency and severity. Characteristics of compound distributions. Recursive calculations and approximations of compound distributions. Technical reserves in non-life insurance. Stochastic models of claims development. The analysis of development triangles. Forms of reinsurance. Reinsurance premium calculation. |
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Last update: RNDr. Lucie Mazurová, Ph.D. (30.05.2018)
Basics of probability theory: probabilty distribution, conditioning, moment generating function, moments, conditional expected value.
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