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Last update: doc. RNDr. Martin Branda, Ph.D. (13.12.2020)
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Last update: RNDr. Jitka Zichová, Dr. (02.06.2022)
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.
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Last update: Mgr. Ing. Pavel Kříž, Ph.D. (13.10.2022)
Conditions for the exercise class credit: 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. |
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Last update: doc. RNDr. Martin Branda, Ph.D. (13.12.2020)
S.A. Klugman, H.H. Panjer, G.E. Willmot: Loss Models: From Data to Decisions. John Wiley & Sons, 1998.
M.V. Wüthrich, M. Merz: Stochastic Claims Reserving Methods in Insurance. Wiley, 2008.
P. Mandl, L. Mazurová: Matematické základy neživotního pojištění. MatfyzPress, 1999. |
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Last update: RNDr. Jitka Zichová, Dr. (02.06.2022)
Lecture + exercises. |
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Last update: RNDr. Lucie Mazurová, Ph.D. (12.10.2022)
Oral exam with written preparation. Requirements for the exam consist of the entire extent of the lecture. |
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Last update: RNDr. Lucie Mazurová, Ph.D. (13.12.2020)
1. Distributions of claim sizes derived by a power transform, generalized and generalized inverse distributional families. Tail behavior, subexponential distributions. 2. (a,b,0) and (a,b,1) classes of counting distributions. 3. Panjer recursive formula for compound distributions. Methods of discretization of a continuous claim size distribution. Calculation of a compound distribution by means of FFT. Approximations of the aggregate loss distribution. 4. Discrete-time ruin theory model. 5. Pricing of XL-reinsurance with reinstatements. 6. Simple methods of classification ratemaking. Loglinear model. 7. Mack's model and chain-ladder method. Bornhuetter-Ferguson method. Poisson model for incremental development triangles.
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Last update: RNDr. Lucie Mazurová, Ph.D. (21.04.2024)
Basics of probability theory: probabilty distribution, conditioning, moment generating function, moments, conditional expected value |