03075ntm a22005177i 4500 000544709 CZ-PrVSE 20180609230342.0 m d cr n|||||||||| 180609s2018 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Vrobel, Marcel ISIS:102161 dis MICRO RESERVING MODEL V NEŽIVOTNÍM POJIŠTĚNÍ S VYUŽITÍM ROZŠIŘENÝCH ZOBECNĚNÝCH LINEÁRNÍCH REGRESNÍCH MODELŮ. eng MICRO-MODEL FOR RESERVING IN NON-LIFE INSURANCE WITH THE USE OF GENERALIZED LINEAR REGRESSION MODEL EXTENSIONS / Marcel Vrobel 2018 ?? 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 This paper develops a deterministic model for individual claim level reserving. The proposed model is based on collected literature and its structure is decomposed and presented as a list of variables. These variables are firstly defined and then predicted with the usage of generalized linear models (GLM) and its extensions in form of Hurdle and Zero-inflated models. These variables are then combined and as a result, a deterministic model for individual claim level reserving model is obtained. For the practical implementation and evaluation, a dataset of MTPL claims, originating from non-insured cars, is used and presented. Based on these claims the estimated reserve is obtained. The model is then compared with a traditional Chain-Ladder model reserve estimate. In the end the proposed model proved to have very accurate predictions but is biased in comparison with the real claim development. The last section suggests how the model can be improved and further developed. Způsob přístupu: Internet statistika [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas Hurdle model Zero-inflated model Micro model Individual claim level model GLM Zimmermann, Pavel, 1980- jo20251268570 ths Gerthofer, Michal ISIS:122405 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/62793/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/62793 Hlavní práce https://insis.vse.cz/zp/62793/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/62793/posudek/oponent/58094 Oponentura https://insis.vse.cz/zp/62793/podrobnosti dc:identifier NEPOSILAT VSKP vse62793 180608 62793