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Modeling claims in non-life insurance. Parametric models and their identification. Methods of calculation of the
distribution of aggregate claims. Technical reserves in non-life insurance. Reinsurance.
Last update: Zichová Jitka, RNDr., Dr. (27.04.2018)
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The aim of the subject is to describe probabilistic models used in non-life insurance, fundamentals of the collective risk model including elementary ruin theory , to make a survey of technical reserves and selected methods for computing outstanding claims reserves. Last update: T_KPMS (16.05.2013)
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Conditions for the exercise class credit: all solved homeworks, written exam (at least 50% of points), oral presentation on a given topic.
The nature of these requirements precludes possibility of additional attempts to obtain the exercise class credit.
The exercise class credit is necessary for the participation in the exam. Last update: Mazurová Lucie, RNDr., Ph.D. (13.10.2021)
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Mandl, P., Mazurová, L.: Matematické základy neživotního pojištění. Matfyzpress, Praha 1999.
Klugman, S.A., Panjer, H.H., Willmot, G.E.: Loss Models, John Wiley & Sons, 1998.
T. Mack: Distribution free calculation of the standard error of chain ladder reserves estimate.
ASTIN Bulletin 23 (1993), 213-225. Last update: Pešta Michal, doc. RNDr., Ph.D. (28.10.2019)
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Lecture+exercises.
Last update: Mazurová Lucie, RNDr., Ph.D. (13.10.2021)
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Oral exam with written preparation. Requirements for the exam consist of the entire extent of the lecture. Last update: Mazurová Lucie, RNDr., Ph.D. (10.10.2017)
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Modelling claims frequency and severity. Characteristics of compound distributions. Recursive calculations and approximations of compound distributions. Technical reserves in non-life insurance. Stochastic models of claims development. The analysis of development triangles. Forms of reinsurance. Reinsurance premium calculation. Last update: Mazurová Lucie, RNDr., Ph.D. (26.04.2018)
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Basics of probability theory: probabilty distribution, conditioning, moment generating function, moments, conditional expected value.
Last update: Mazurová Lucie, RNDr., Ph.D. (30.05.2018)
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