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

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.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:324586
Date January 2013
CreatorsVosáhlo, Jaroslav
ContributorsPešta, Michal, Mazurová, Lucie
Source SetsCzech ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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