03056ntm a22005417i 4500 000538279 CZ-PrVSE 20180203104636.0 m d cr n|||||||||| 180203s2017 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Kabdenova, Malika ISIS:122416 dis Advanced statistical methods in non-life insurance reserving eng Advanced statsitical methods in non-life insurance reserving / Malika Kabdenova 2017 ?? stran : digital, PDF soubor Vedoucí práce: Pavel Zimmermann Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2018 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2018 Reserving has always been an important task for insurance companies. With the adoption of Solvency II directive, development of stochastic modelling for that purpose is becoming increasingly important as uncertainty of the predictions is legally required. The generalized linear model (GLM) is a popular method used for claims reserving, however, there is a need for development of models with more sophisticated correlation structures without the restrictive assumption of independence of incremental claims. This thesis implements the generalized linear mixed model (GLMM) on aggregated insurance dataset using more than one random effect. Both the theory behind GLM and GLMM as well reserving theory were discussed. Practical application of one GLM and three different GLMM models on a real dataset and their further comparison and diagnostics were carried out. The goal was to find the structure of the model best suited for the given dataset measured using several criteria. Způsob přístupu: Internet quantitative economic analysis [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas claims reserving mixed models generalized linear mixed model random effects non-life insurance panel data generalized linear models Zimmermann, Pavel, 1980- jo20251268570 ths Gerthofer, Michal opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/59445/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/59445 Hlavní práce https://insis.vse.cz/zp/59445/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/59445/posudek/oponent/55095 Oponentura https://insis.vse.cz/zp/59445/podrobnosti dc:identifier NEPOSILAT VSKP vse59445 180201 59445