Return to search

Statistical models for an MTPL portfolio / Statistical models for an MTPL portfolio

In this thesis, we consider several statistical techniques applicable to claim frequency models of an MTPL portfolio with a focus on overdispersion. The practical part of the work is focused on the application and comparison of the models on real data represented by an MTPL portfolio. The comparison is presented by the results of goodness-of-fit measures. Furthermore, the predictive power of selected models is tested for the given dataset, using the simulation method. Hence, this thesis provides a combination of the analysis of goodness-of-fit results and the predictive power of the models.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:359373
Date January 2017
CreatorsPirozhkova, Daria
ContributorsZimmermann, Pavel, Malá, Ivana
PublisherVysoká škola ekonomická v Praze
Source SetsCzech ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

Page generated in 0.0019 seconds