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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Showing 1 to 3 of 3 (0.075 seconds)

Spelling suggestions: "subject:"stochastic preserving"" "subject:"stochastic deserving""

1

Modern stochastic claims reserving methods in insurance and their comparison / Modern stochastic claims reserving methods in insurance and their comparison

Vosáhlo, Jaroslav January 2013 (has links)
This thesis deals with an issue of claims reserving for non-life insurance. The issue is approached in a sense of analytical calculation and stochastic modelling. First, Chain-ladder, Bornhuetter-Ferguson, Benktander-Hovinen and Cape-Cod method are introduced. In following chapters, we try to find related stochastic underlying models including Generalized linear models and Mack's distribution-free approaches, we analyze second moments of claims estimates for each of the methods and examine alternative Merz-Wüthrich approach to reserve risk measurement. At the end, bootstrap algorithm and estimates are suggested and simulation results are compared with analytic ones.
2

Volatilita škodních rezerv a bootstrap s aplikací na historická data s trendem ve vývoji škod / Claims reserve volatility and bootstrap with aplication on historical data with trend in claims development

Malíková, Kateřina January 2019 (has links)
This thesis deals with the application of stochastic claims reserving methods to given data with some trends in claims development. It describes the chain ladder method and the generalized linear models as its stochastic framework. Some simple functions are suggested for smoothing the origin and development period coefficients from the estimated model. The extrapolation is also considered for estimation of the unobserved tail values. The residual bootstrap is used for the reparameterized model in order to get the predictive distribution of the estimated reserve together with its standard deviation as a measure of volatility. Solvency capital requirement in one year time horizon is also calculated. 1
3

Multivariate stochastic loss reserving with common shock approaches

Vu, Phuong Anh 01 1900 (has links)
No description available.
réserves stochastiques
triangles de développement
choc commun
modélisation évolutive
réservation robotisée
distribution Tweedie
estimation bayésienne
données asymétriques
filtrage de Kalman
filtre particulaire
stochastic reserving
loss triangles
common shock
evolutionary modelling
robotic reserving
Tweedie family of distributions
Bayesian estimation
unbalanced data
particle filtering
Kalman filtering

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