02946ntm a22005417i 4500 000346992 CZ-PrVSE 20170205114657.0 m d cr n|||||||||| 170205s2016 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Fedorčáková, Claudia ISIS:87256 dis Empirický bayesovský přístup v mikromodelech pro výpočet rizika rezerv eng Empirical Bayesian approach in micromodels of reserve risk / Claudia Fedorčáková 2016 ?? stran : digital, PDF soubor Vedoucí práce: Pavel Zimmermann Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2017 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2017 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. Způsob přístupu: Internet finanční inženýrství [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas Loss reserving technical provisions individual claims reserving Bayesian statistics ultimate risk 1-year reserve risk Solvency II Zimmermann, Pavel, 1980- jo20251268570 ths Bílková, Diana mzk2004248684 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/53936/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/53936 Hlavní práce https://insis.vse.cz/zp/53936/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/53936/posudek/oponent/50592 Oponentura https://insis.vse.cz/zp/53936/podrobnosti dc:identifier NEPOSILAT VSKP vse53936 170202 53936