Return to search

Empirical Bayesian approach in micromodels of reserve risk / Empirický bayesovský přístup v mikromodelech pro výpočet rizika rezerv

The traditional reserve estimation by an insurance company is based on the aggregated data. However, new trend is to utilize all the information available and analyse each claim separately. This way the application of claims specific features, such as non-proportional reinsurance or policy limits, is possible. The aim of this thesis is to construct the reserving model based on the individual claims. Following the recent legislative changes, the reserve risk has been redefined from ultimate claim horizon to a one-year risk horizon. Hence, the next task is to setup simulation model to calculate one year horizon reserve risk by updating the estimates based on new observations collected over one year. This is a typical task for Bayesian approach, therefore the model components are estimated using the tools of Bayesian statistics.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:262364
Date January 2015
CreatorsFedorčáková, Claudia
ContributorsZimmermann, Pavel, Bílková, Diana
PublisherVysoká škola ekonomická v Praze
Source SetsCzech ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

Page generated in 0.002 seconds