This thesis covers, in detail, theoretical background of micro-level stochastic model, which includes definition and properties of non-homogeneous Poisson process. This the- ory is then applied to real data generated by MTPL portfolio. Estimates of provisions under micro-level stochastic model are calculated using ordinary Monte Carlo simula- tion method. Results obtained from micro-level stochastic model are compared to Mack Chain-ladder estimates. 1
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:405166 |
| Date | January 2019 |
| Creators | Rathouský, Marek |
| Contributors | Pešta, Michal, Vitali, Sebastiano |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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