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.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:324586 |
| Date | January 2013 |
| Creators | Vosáhlo, Jaroslav |
| Contributors | Pešta, Michal, Mazurová, Lucie |
| 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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